基于搜寻的有限参与、事件风险与流动性溢价被引量：13

Search-Based Limited Participation、Event Risk and Liquidity Premium

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摘要本文在一个简单的投资决策框架内对投资者面对国有股全流通这一事件风险时的最优决策问题进行建模 ,得到一个基于流动性的资本资产定价模型。结论表明 ,相对于不存在事件风险的情形而言 ,国有股的存在使得更多投资者不愿进入市场 ,导致市场流动性进一步下降。同时 ,这一事件风险使得选择进入市场的投资者要求更高的流动性溢价。由此。 This paper models event risk (the sudden announcement of circulation of state own shares) and investment decision in a simple setting and derives a Liquidity based Asset Pricing Model. The paper shows that the presence of illiquid shares deters some investors from entering the market, with the result of an endogenously thin market. It further shows that any rational investors will ask for compensation for this thinness.Thus,this model provides a theoretical explanation of the long drawn stock market downturn since June,2001.

作者吴卫星汪勇祥

机构地区中国科学院数学与系统科学研究院中国人民大学金融与证券研究所

出处《经济研究》 CSSCI 北大核心 2004年第8期85-93,127,共10页 Economic Research Journal

关键词事件风险流动性溢价中国国有股全流通股票市场投资决策有限参与投资收益 Limited Participation Event Risk State-owned Equities Liquidity Premium

分类号 F830.9 [经济管理—金融学]

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参考文献15

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