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本文对资产流动性的定义及其对证券市场的影响进行了归纳总结,阐明了资产流动性与其预期收益率的紧密关系。本文内容主要包括流动性的测度及流动性对资产定价的影响两个方面。测度方面,Amihud Yakov与Mendelson先后将股票买卖价差与收益率与成交额比值的绝对值作为流动性度量指标,而Pa′stor和Stambaugh 2003的文献将流动性风险上升到了系统性的高度,引入了月度市场流动性指标。对股价影响方面,Amihud Yakov与Mendelson 1986年的研究发现预期到和为预期到的市场弱流动性与股票超额收益率在截面数据层面上分别存在正相关与负相关。此外,Amihud在2002年文献中证明了预期到和未预期到的市场弱流动性与股票超额收益率存在时间序列的正相关性与负相关性,将两者的相关性扩展到了时间维度。此外,Pa′stor和Stambaugh 2003年的文献将流动性风险上升到了系统性的高度,将流动性风险作为资产定价的一个重要状态变量,股票的预期收益率与该股票对市场范围内流动性波动的敏感度高度相关。
This paper summarizes the definition of asset liquidity and its impact on the securities market, clarifying the close relationship between asset liquidity and its expected rate of return. This article mainly includes two aspects: the measure of liquidity and the effect of liquidity on asset pricing. On the measurement side, Amihud Yakov and Mendelson successively used the absolute value of the stock price spread to the ratio of return and turnover as the liquidity measure, while the literature by Pa’stor and Stambaugh 2003 raised the liquidity risk to a systemic level by introducing Monthly market liquidity index. On the share price effect, a 1986 study by Amihud Yakov and Mendelson found that there was a positive and a negative correlation between expected and expected market liquidity and excess stock returns, respectively, at cross-sectional data levels. In addition, in 2002, Amihud proved that there is a positive correlation and a negative correlation between the expected and unexpected market volatility of the stock market and the time series of excess stock returns, extending the correlation between the two into the time dimension. In addition, Pa’stor and Stambaugh’s 2003 literature raised the liquidity risk to a systemic level, using liquidity risk as an important state variable in asset pricing, the expected return on the stock and the volatility of liquidity in the market over the stock The sensitivity is highly correlated.