| 流动性溢价:一个理论分析 |
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| 引用本文： | 程兵,吴卫星.流动性溢价:一个理论分析[J].系统工程理论与实践,2004,24(8):49-53. |
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| 作者姓名： | 程兵 吴卫星 |
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| 作者单位： | 中国科学院数学与系统科学研究院应用数学所 |
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| 摘 要： | 在考虑了资产的流动性之后,得到了一个基于流动性的消费版的资产定价模型.通过这一模型,对股权溢价之谜、规模效应等实证金融中的反常现象进行了分析.
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| 关 键 词： | 消费版的资产定价模型 流动性溢价 证券溢价之谜 规模效应 资本资产定价模型 |
| 文章编号： | 1000-6788(2004)08-0049-05 |
| 修稿时间： | 2003年4月26日 |
Liquidity Premium:A theoretical Analysis |
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| CHENG Bing,WU Wei-xing.Liquidity Premium:A theoretical Analysis[J].Systems Engineering —Theory & Practice,2004,24(8):49-53. |
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| Authors: | CHENG Bing WU Wei-xing |
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| Institution: | Academy of Mathematics and Systems Science,The Chinese Academy of Sciences |
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| Abstract: | We derive a liquidity-adjusted version of the consumption-basedasset pricing theory based onreturns calculated after taking into account the effect of illiquidity, i.e. the cash flow can not be sold without any discount. Based on this model, we try to interpret the abnormal performances of stock prices such as equity premium puzzle, size effect. |
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| Keywords: | consumption-based asset pricing theory liquidity premium equity premium puzzle size effect captial asset pricing model |
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