市场流动性与资产定价理论评述

发布时间：2018-06-14 08:16

本文选题：流动性 + 资产定价　；参考：《经济学动态》2011年05期

【摘要】：上世纪80年代以来,通过流动性的研究实现对传统资产定价理论的校正成为理论研究前沿。从驱动市场流动性变化的因素出发,一方面,将交易成本所引起的市场非流动性纳入传统资产定价理论研究框架,进而采用一般均衡分析方法求解其对均衡价格的影响,从而构建了流动性与资产定价研究的基础理论;另一方面,放宽传统资产定价理论中对信息质量的约束,从交易机制与投资者行为等视角研究流动性形成的特殊机制,从而将流动性与资产定价的研究延伸到市场微观基础。因此,本文从流动性与资产定价的基础理论、微观基础和经验研究方法等方面回顾了近30年来这一领域研究中较为重要的文献。
[Abstract]:Since 1980's, the correction of traditional asset pricing theory through liquidity research has become the frontier of theoretical research. Based on the factors driving the change of market liquidity, on the one hand, the market illiquidity caused by transaction cost is brought into the traditional asset pricing theory research framework, and then the general equilibrium analysis method is used to solve its influence on equilibrium price. On the other hand, relax the restriction of information quality in traditional asset pricing theory, and study the special mechanism of liquidity formation from the perspective of transaction mechanism and investor behavior. Thus, the research of liquidity and asset pricing is extended to the market micro-foundation. Therefore, this paper reviews the important literatures in this field in the past 30 years from the basic theory of liquidity and asset pricing, microscopic basis and empirical research methods.
【作者单位】：东北财经大学应用金融研究中心和金融学院;
【基金】：国家自然科学基金(706710197087101971072140) 教育部人文社科青年基金项目(09YJC630022) 国家留学基金项目(教外留[2010]1174号) 辽宁省教育厅项目(2009A242) 辽宁省百千万人才项目([2008]179090号)
【分类号】：F820

【共引文献】