流动性资产定价理论与实证研究

由于交易成本、市场摩擦等因素的影响,资产价格偏离标准资产定价理论的预期,产生了流动性溢价。非流动性产生的来源、机理、性质引起学术界持续的兴趣,尤其是非流动性对最优消费和投资策略,资产价格和收益,以及风险溢价的影响成为资产定价领域里最具有挑战性的课题之一。本文从理论和实证两个方面对探讨流动性与资产价格之间关系的文献进行了简要回顾。

Theoretical and Empirical Studies on the Liquidity Asset Pricing

Due to transaction costs and market frictions,asset prices deviate from anticipations of the standard asset pricing theories.Liquidity premia occur to compensate investors for bearing liquid risks.The sources,characteristics and mechanisms of illiquidity attract continuing academic interests.Especially,the effects of illiquidity on investors' optimal consumption and investment policy,asset prices or returns,and asset premia have become one of the most challenging and attractive issues in the field of asset ...