摘要
从行为金融的研究视角,本研究建立了一种简洁的流动性风险均衡模型。本文将流动性因素纳入股票横截面收益的关键影响因素,构建了基于流动性风险调整的行为资产定价模型,利用欧拉方程确定了模型均衡价格。在一般均衡框架下,本文揭示了买卖差价、交易频率和市场效率等因素以流动性偏好形式对资产价格的影响机理。在连续双向拍卖交易机制下,本文利用仿真检验了均衡价格的形成过程,结果能够解释股票溢价等金融异象。
From the perspective of behavioral finance, this paper builds a simple equilibrium model by incorporating liquidity risk into the key influential factors for stock cross-sectional returns. The behavioral asset pricing model with liquidity risk is proposed. The equilibrium price is determined through Euler equations. Under the general equilibrium framework, the model provides a unified description for understanding the various channels, through which bid-ask spread, transaction frequency and efficiency will affec/t asset prices through liquidity risk. Under the order driven market, the process of equilibrium price is investigated by simulation. The results explicitly explain behavioral anomalies as equity puzzles.
出处
《南方经济》
北大核心
2006年第2期5-12,共8页
South China Journal of Economics
基金
国家自然科学基金项目(70571064)。
