基于流动性风险的多因素定价模型及其实证研究

中国管理科学 ›› 2006, Vol. ›› Issue (5): 45-51.

基于流动性风险的多因素定价模型及其实证研究

陆静¹, 唐小我²

1. 重庆大学经济与工商管理学院, 重庆, 400030;
2. 电子科技大学管理学院, 成都, 610054

收稿日期:2005-09-07 修回日期:2006-09-12 出版日期:2006-10-28 发布日期:2012-03-07
基金资助:
国家杰出青年基金资助项目(79725002)

The Empirical Study on Multi-Factor Pricing Model Based on Liquidity Risk

LU Jing¹, TANG Xiao-wo²

1. College of Economics and Business Administration, Chongqing University, Chongqing 400030, China;
2. School of Management, University of Electronic Science and Technology, Chengdu 610054, China

Received:2005-09-07 Revised:2006-09-12 Online:2006-10-28 Published:2012-03-07

摘要/Abstract

摘要： 本文通过构造基于流动性风险的多因素定价模型,研究了流动性风险对证券均衡价格的影响.研究表明,在假定流动性是证券收益补偿变量的前提下,证券的期望收益除了与证券的协方差风险有关外,还与证券的流动性风险和市场证券组合的流动性风险有关;流动性对期望收益具有一定的预测性,由于证券流动性是持续性的,当前流动性较差的证券在未来的流动性也较差,因而其未来的流动性风险补偿应该较高,即预期收益较高.

关键词: 流动性风险, 资产定价, 股票收益

Abstract: The paper studies the effect liquidity risk of the on stock pricing base on multi-factor assets pricing model.Provided that liquidity being regarded as compensation of stock returns,stock expected returns will relate with stock's liquidity risk and market portfolio's liquidity risk.Liquidity has somewhat prediction effects.The present illiquidity stock will be of illiquidity in the future,and its expected returns will be high.

Key words: liquidity risk, asset pricing, stock returns

中图分类号:

C931

陆静, 唐小我. 基于流动性风险的多因素定价模型及其实证研究[J]. 中国管理科学, 2006, (5): 45-51.

LU Jing, TANG Xiao-wo. The Empirical Study on Multi-Factor Pricing Model Based on Liquidity Risk[J]. Chinese Journal of Management Science, 2006, (5): 45-51.

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