机构资产定价理论与股价脆弱性最新研究进展综述

Review about Latest Research Development of Institutional Asset Pricing Theory and Stock Price Fragility

机构资产定价理论与股价脆弱性的研究非常重要,它不仅有利于我们进一步认清金融机构与代理人摩擦因素在资产定价过程中的作用,从而为金融市场异象提供新的解释途径,而且也为政府进一步完善对金融系统性风险的监管提供一定的理论基础。在本文中,我们主要从相关性交易需求与系统流动性变动、高波动流动性冲击与资产被迫拍卖行为以及机构持股结构与相关性交易行为三个方面总结了国外研究者关于机构资产定价理论与股价脆弱性研究的最新进展。

Study on institutional asset pricing theory and stock price fragility is of great importance.It is not only helpful for us to further understand the role of financial institutions and agents' friction factors in the asset pricing process and provides a new interpretive approach to the financial market anomalies,but also conducive for the government to provide a theoretical basis that further improves the supervision on financial systemic risk.In this paper,we summarize the foreign researchers' latest research development of institutional asset pricing theory and stock price fragility from three aspects: related trade demands and commonality in liquidity,high volatility of liquidity shocks and asset fire sales as well as the institutional ownership and related trading acts.