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Amihud and Mendelson ( 1986) 根据换手率可以作为投资者持有期限的指示变量这一理论，他们建立的的模型最终得出结论表明：均衡条件下的股票流动性越大，持有期限越长，证明了换手率可以代表流动性来度量股票超额收益。对于换手率对股票收益的负影响，将从以下两个角度进行。第一个是基于流动性的解释。第二个是如果换手率可以用来代表流动性，那么低换手率的股票就会有低流动性，那么投资者将对低流动性要求较高的股票收益的补偿。
综上所述，在金融实证研究中，上述两种指标因素能有效体现信息传递的均在中国股票市场上有一定的实用性，因此，本文通过建立上述指标与股票收益率的回归并进行分析研究，浅谈信息交易对股票超额收益的影响。
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