资产定价中的市场流动性——流动性文献综述

本文以市场流动性为主题,总结2000年以来资产定价领域中市场流动性相关研究的成果。本文发现,不同的流动性指标有自身的前提假设和应用范围;2000年以后文献将市场范围内的流动性视为一种重要的系统性风险。近年来主要研究认为流动性对资产定价存在各种影响,并致力于提出统一的框架,以刻画流动性对资产定价的影响机制。此外,流动性与市场效率、流动性与投资者的关系等都成为与资产定价相关的重要内容,也在公司金融中研究扮演重要的角色。

This paper surveys the latest studies of market liquidity since the 21st Century. Our summary shows that different li- quidity measures have their own assumptions and applicable area. After 2000, liquidity has been taken as part of vital systemat- ic risk influencing returns, whereas united framework has been emphasized recently. On the base of three focuses mentioned above, liquidity and market efficiency, liquidity and investors＇ behavior also become the important components of asset pric- ing field and corporate finance field.