基于流动性风险的资本资产定价模型

Abstract

Abstract: Based on the recent asset pricing theories, the pricing of risky asset with liquidity risk is studied in this paper. Firstly, the pricing of liquidity risk under no-arbitrage is dissussed, and the market price of liquidity risk is pbtained and the efficient frontier of a portfolio with one risk-free asset is gived. Then, from the perspective of risk composition, the measure and the market price of liquidity risk is proposed, and liquidity risk-based capital asset pricing model with two types of expression(LBCAPM with the relative amount of risk and LBCAPM with the absolute volume of risk)is induced, which describes the process of asset expected return formation. In the end,the possible application of the asset pricing model is indicated.

Key words: liquidity risk, no-arbitrage, risk composition, capital asset pricing model

CLC Number:

ZHOU Fang, ZHANG Wei, ZHOU Bing. Capital Asset Pricing Model Based on Liquidity Risk[J]. Chinese Journal of Management Science, 2013, 21(5): 1-7.

References

[1] Sharpe W. Capital asset prices[J]. Journal of Finance, 1964, 19 (3): 425-442.
[2] Linter J. The valuation of risk assets and selection of risky investments in stock Portfolio and capital budgets[J]. Review of Economics and Statistics, 1965, 47 (1): 13-37.
[3] Mossin J. Equilibrium in a capital market[J]. Econometrica, 1966, 34 (4): 768-783.
[4] Black F. Capital market equilibrium with restricted borrowing[J]. Journal of Business, 1972, 45 (3): 444-455.
[5] Merton R.An intertemporal capital asset pricing model[J]. Econometrica, 1973, 41 (5): 867-888.
[6] Ross S A. The arbitrage theory of capital asset pricing[J]. Journal of Economic Theory, 1976,13: 341-360.
[7] Amihud Y. Illiquidity and stock returns: Cross-section and time-series effects [J]. Journal of Financial Markets, 2002, 5(1): 31-56.
[8] Pastor L, Stambaugh R. Liquidity risk and expected stock returns[J]. Journal of Political Economy, 2003, 111 (3): 642-685.
[9] Liu Weimin. A liquidity-augmented capital asset pricing model[J]. Journal of Financial Economics, 2006, 82 (3) : 631-671.
[10] 陈青, 李子白. 我国流动性调整下的CAPM研究[J], 数量经济技术经济研究, 2008 (6): 66-78.
[11] 周芳, 张维. 中国股票市场流动性风险溢价研究[J], 金融研究, 2011 (5): 194-206.
[12] Fama E F. French K R. Common risk factors in the returns on stocks and bonds[J]. Journal of Financial Economics, 1993, 33 (1): 3- 56.
[13] Chan H W, Faff R W.Asset pricing and the illiquidity premium[J]. Financial Review,2005, 40 (4): 429-458.
[14] Hearn B J, Strange P R. Market liquidity and stock size premia in emerging financial markets: The implications for foreign investment[J]. International Business Review, 2010, 19 (5): 489-501.
[15] Amihud Y,Mendelson H. Asset pricing and the bid-ask spread [J]. Journal of Financial Economics, 1986, 17(2): 223-249.
[16] 周芳, 张维.流动性、公司规模和账面市值比的关系研究[J]. 系统工程学报, 2012, 27(4):498-505.
[17] 周芳, 张维,张小涛. 中国股票市场风险因素相关性研究[J]. 管理学报, 2012, 9(7):994-1000.
[18] Acharya V V, Pedersen L H. Asset pricing with liquidity risk[J]. Journal of Financial Economics, 2005, 77 (2): 375-410.
[19] 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, 14 (5):45-51.
[20] 邹小芃, 黄峰, 杨朝军. 流动性风险、投资者流动性需求与资产定价[J]. 管理科学学报, 2009, 12 (6): 139-149.
[21] Zhou Fang,Zhang Wei,Zhou Bing.Martingale-based computational liquidity risk premium[J].WSEAS Transactions on Mathematics, 2013, 12(1): 95-104.
[22] Baxter M, Rennie A. Financial calculus[M]. Cambridge:Cambridge University Press, 1996.

Capital Asset Pricing Model Based on Liquidity Risk

PDF (PC)

Knowledge

Cited

Abstract

Cite this article

share this article

References

Related Articles 13

Metrics

Comments

Recommended 10

[1]	KONG Ji-hong, YUE Wei. Is Dynamic Nelson-Siegel Model Compatible with Arbitrage Free——Empirical Evidence from China Treasury Yield Curves [J]. Chinese Journal of Management Science, 2020, 28(4): 61-72.
[2]	SHI Yu-shan, LIU Hai-long, HU You-qun. Optimal Pricing Model of Stock Loan-to-value Ratio Considering Liquidity Risk and Portfolio Rebalancing Risk [J]. Chinese Journal of Management Science, 2018, 26(1): 81-89.
[3]	SU Xin, ZHOU Yong. Liquidity, Liquidity Risk and Performance——A Empirical Study on Chinese Open-End Mutual Funds [J]. Chinese Journal of Management Science, 2015, 23(7): 1-9.
[4]	GE Jing, TIAN Xin-shi. Models and Empirical Research of Term Structure of Interest Rates in China: Based on No-Arbitrage DNS Model and DNS Model [J]. Chinese Journal of Management Science, 2015, 23(2): 29-38.
[5]	CUI Chang-feng, LIU Hai-long. The Pricing of Defaultable Bond Based on Claim Termination [J]. Chinese Journal of Management Science, 2012, (4): 8-17.
[6]	LI Yan-ni, RAN Mao-sheng. The Study of Commercial Bank Liquidity Risk Management Method and Improvement——Application of Dynamic Programs with Simple Recourse Under Fuzzy Qualitative Constraints [J]. Chinese Journal of Management Science, 2011, 19(3): 19-25.
[7]	WANG Ming-tao, ZHUANG Ya-ming. New Models for Measuring the Liquidity Risk of Stocks [J]. Chinese Journal of Management Science, 2011, 19(2): 1-9.
[8]	XIAO Yuan, HU Xiao-ping, DANG Feng-shun. Research on the Model of Risk Measurement in China’s Open-end Fund Market [J]. Chinese Journal of Management Science, 2009, 17(6): 25-32.
[9]	HAN Guo-wen, YANG Wei. A New Model and Its Tests for Measuring the Liquidity Risk of Stocks [J]. Chinese Journal of Management Science, 2008, 16(2): 1-6.
[10]	LUO Deng-yue, WANG Chun-feng, FANG Zhen-ming. An Empirical Research on the Relationship between Aggregate Liquidity and Asset Pricing in China Stock Market [J]. Chinese Journal of Management Science, 2007, 15(2): 33-38.
[11]	ZHU Xiao-bin. Measuring Model of Stock Investment Portfolio’s Liquidity Risk：Construction and Test [J]. Chinese Journal of Management Science, 2007, 15(1): 6-11.
[12]	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.
[13]	LI Zhong-fei, WANG Shou-yang, YANG Hai-liang. Weak No-Arbitrage in Financial Markets with Frictions [J]. Chinese Journal of Management Science, 2002, (3): 1-5.