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。
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.
出处
《中国软科学》
CSSCI
北大核心
2005年第12期145-150,共6页
China Soft Science
关键词
流动性
资产定价
股票收益
liquidity
asset pricing
stock returns
作者简介
陆静（1966-），男，四川乐山人，重庆大学经济与工商管理学院讲师，博士，研究方向：金融市场微观结构。
