本文在控制市场和公司规模等因素的基础上,检验了中国A股市场中具有融资约束的公司股票是否具有更高的风险和预期收益率。实证结果显示,融资约束通过影响公司的系统风险对公司资产定价产生影响,即具有较高融资约束程度的公司,其具有较高的系统性风险;但融资约束并不能成为独立的定价因子对股票收益率产生贡献,它通过影响公司的系统风险对公司股票定价产生影响。这表明中国资本市场在一定程度上能够以资产价格的形式反映出企业的融资约束高低,但资本市场的定价功能未得到充分发挥。 Based on such factors as the control of the market and the size of the company, this paper tests whether the companies with financing constraints in China’s A-share market have higher risk and expected rate of return. The empirical results show that the financing constraints affect the company’s asset pricing by affecting the systematic risk of the company, that is, the companies with higher financing constraints have higher systemic risk; however, the financing constraints can not become independent pricing factors. Yields contribute to the firm’s pricing by affecting its systemic risk. This shows that to a certain extent, China’s capital market can reflect the level of financing constraints of enterprises in the form of asset prices, but the pricing function of capital markets has not been brought into full play.