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流动性风险与股票收益率

Liquidity Risk and Stock Returns
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摘要 本文从随机贴现因子的角度研究了流动性风险与股票收益率的关系,得出这样的结论,流动性风险可以作为市场风险以外的一种风险源,是投资者应当考虑的;中国股票市场存在所谓的流动性风险溢价,流动性冲击对资产预期收益具有正向的影响。 In this paper, we conclude that liquidity risk is a kind of outside market risk source which the investors should consider; Chinese stock market in the so-called liquidity risk premium, liquidity shocks have a positive expected return assets impact.
作者 刘芳 张海雷
机构地区 华侨大学经济与金融学院
出处 《湖北财经高等专科学校学报》 2010年第3期35-37,共3页 Journal of Hubei College of Finance and Economics
关键词 流动性风险 非流动性 资产定价 liquidity risk non-liquid asset pricing
分类号 F224 [经济管理—国民经济] F832.51 [经济管理—金融学]
  • 相关文献

参考文献6

  • 1Amihud Y, Mendelsen H. Asset pring and the bidask spread [J]. Journalof Financial Economics, 1986,( 17 ): 223-249.
  • 2Amihud Y. Illiquidity and stock returns: cross-section and time-series e?ects [J]. Journal of Financial Markets, 2002,(5 ):31-56.
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  • 6孔东民.流动性风险与资产定价:来自中国股市的证据[J].南方经济,2006,35(3):91-107. 被引量：18

二级参考文献30

  • 1Chordia, T., Roll, R., Subrahmanyam, A., 2000, " Commonality in liquidity,"Journal of Financial Economics ,56, 3-28.
  • 2Chordia, T., Roll, R., Subrahmanyam, A., 2001, " Market liquidity and trading activity,"Journal of Finance, 56, 501-530.
  • 3Cochrane, J.H., 2001, Asset Pricing, Princeton Univenity Press, Princeton, NJ.
  • 4Cooper, M., Gutierrez R., and Hameed A., 2004,"Market States and Momentum," Journal of Finance, 59, 1345-1365.
  • 5Daniel, Kent, and Sheridan Titman, 1997, "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, 52, 1-33.
  • 6Fama, Eugene F., and Kenneth R. French., 1993, "Common risk factors in the returas on stocks and bonds," Journal of Hinancial Economics, 33, 3-56.
  • 7Fama, E.F., MacBeth, J.D., 1973, "Risk, return, and equilibrium: Empirical tests,"Journal of Political Economy , 81, 607-636.
  • 8Hasbrouck, J., 2002, "Inferring trading costs from daily data: US equities from 1962 to 2001 ,"Unpublished working paper, New York University.
  • 9Holmstrom, B., Tirole, J., 2000,"LAPM: a liquidity-based asset pricing model,"Journal of Finance ,56, 1837-1867.
  • 10Jones, C.M., 2001 ,A century of stock market liquidity and trading costs, Graduate School of Business, Columbia University.

共引文献17

湖北财经高等专科学校学报
2010年 第3期

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