流动性风险、投资者流动性需求与资产定价被引量：26

Liquidity risk,liquidity demand of investors and asset pricing

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摘要依据证券市场的交易特点把投资者面临的市场流动性风险分解为外生和内生流动性风险,并引入流动性需求状态变量随机化了的投资者对证券的持有期限,得出基于流动性风险调整的资产定价模型.模型能够解释实证研究发现的投资者对流动性风险中不可分散的系统性部分要求相应的风险补偿现象.而且模型揭示出,流动性水平和市场流动性风险的补偿要求是投资者的流动性需求紧张程度的增函数,解释了流动性风险溢价的时变性现象. In asset pricing theories, the theoretical significance of market liquidity risk premium is a hot topic. This paper decomposes market liquidity risk into exogenous and endogenous liquidity risk, introduces liquidity demand as a state variable giving rise to the random holding horizon, and develops a liquidity risk-adjusted capital asset pricing model. Besides agreeming with the previous theoretical literatures on the effect of exoge- nous liquidity risk on asset pricing, we find that different elasticity values of price impact can make a cross- sectional dispersion in required return for the level of liquidity and market liquidity risk. The state variable of liquidity demand affects market liquidity risk premium increasingly, and could induce the known time-varying phenomenon of liquidity risk premium.

作者邹小芃黄峰杨朝军

机构地区浙江大学经济学院浙商银行风险管理部上海交通大学安泰经济与管理学院

出处《管理科学学报》 CSSCI 北大核心 2009年第6期139-149,共11页 Journal of Management Sciences in China

基金国家自然科学基金资助项目(70373053)

关键词流动性风险流动性需求资产定价 liquidity risk liquidity demand asset pricing

分类号 F830.91 [经济管理—金融学]

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参考文献22

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二级参考文献45

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