CAJ | 학술논문

依据证券市场的交易特点把投资者面临的市场流动性风险分解为外生和内生流动性风险,并引入流动性需求状态变量随机化了的投资者对证券的持有期限,得出基于流动性风险调整的资产定价模型.模型能够解释实证研究发现的投资者对流动性风险中不可分散的系统性部分要求相应的风险补偿现象.而且模型揭示出,流动性水平和市场流动性风险的补偿要求是投资者的流动性需求紧张程度的增函数,解释了流动性风险溢价的时变性现象.
의거증권시장적교역특점파투자자면림적시장류동성풍험분해위외생화내생류동성풍험,병인입류동성수구상태변량수궤화료적투자자대증권적지유기한,득출기우류동성풍험조정적자산정개모형.모형능구해석실증연구발현적투자자대류동성풍험중불가분산적계통성부분요구상응적풍험보상현상.이차모형게시출,류동성수평화시장류동성풍험적보상요구시투자자적류동성수구긴장정도적증함수,해석료류동성풍험일개적시변성현상.
In asset pricing theories,the theoretical significance of market liquidity risk premium is a hot topic.This paper decomposes market liquidity risk into exogenous and endogenous liquidity risk,introduces liquidity demand as a state variable giving rise to the random holding horizon.and develops a liquidity risk-adjusted capital asset pricing model.Besides agreeming with the previous theoretical literatures on the effect of exogenous liquidity risk on asset pricing,we find that different elasticity values of price impact Can make a crosssectional dispersion in required return for the level of liquidity and market liquidity risk.The state variable of liquidity demand affects market liquidity risk premium increasingly,and could induce the known time-varying phenomenon of liquidity risk premium.