| 基于流动性风险的证券定价模型及其实证研究 |
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| 引用本文： | 陆静,李东进.基于流动性风险的证券定价模型及其实证研究[J].中国软科学,2005,3(12):145-150. |
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| 作者姓名： | 陆静 李东进 |
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| 作者单位： | 重庆大学,经济与工商管理学院,重庆,400044 |
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| 摘 要： | 本文研究了流动性风险对证券均衡价格的影响。研究表明，在假定流动性是证券收益补偿变量的前提下，证券的期望收益除了与证券的协方差风险有关外，还与证券的流动性风险和市场证券组合的流动性风险有关：流动性对期望收益具有一定的预测性，因为证券流动性是持续性的，当前流动性较差的证券在未来的流动性也较差，因而其未来的流动性风险补偿应该较高，即预期收益较高。
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| 关 键 词： | 流动性 资产定价 股票收益 |
| 文章编号： | 1002-9753(2005)12-0145-06 |
| 收稿时间： | 2005-06-09 |
| 修稿时间： | 2005-09-26 |
The Empirical Study on Stock Pricing Model Based on Liquidity Risk |
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| LU Jing,LI Dong - jin.The Empirical Study on Stock Pricing Model Based on Liquidity Risk[J].China Soft Science,2005,3(12):145-150. |
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| Authors: | LU Jing LI Dong - jin |
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| Institution: | College of Economics and Business Administration, Chongqing University, Chongqing 400044, China |
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| Abstract: | The paper studies liquidity risk's effect on balanced stock pricing.It shows that on the premise of liquidity being regarded as the compensation of stock returns,expected stock returns will relate with not only covariance risk but also stock's liquidity risk and market portfolio's liquidity risk.Liquidity is somewhat predictive for expected stock rewards.For the reason that portfolio's liquidity is durative,the present illiqudity stock will be illiqudity in the future,so its compensation of liquidity risk will be high,that is to say expected returns will be high. |
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| Keywords: | liquidity asset pricing stock returns |
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