ֻ12जֻ6௹ܵ ॓ ࿐ ࿐ Б 2009୍12ᄅ JOURNALOFMANAGEM ੀྟڄགaሧᆀੀྟླაሧӁקࡎ 邹小芃1,黄 峰2,杨朝军3(1.ᆄࡾն࿐ࣜ࠶࿐ჽ,ݳᇜ310027;2.ᆄഅၿྛڄགܵ,҆ݳᇜ310006;3.ഈݚࢌ๙ն࿐νࣜ࠶აܵ࿐ჽ,ഈݚ200052)ᅋေ: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.ܱՍ:流动性风险;流动性需求;资产定价ᇏٳোݼ: ໓ངѓ്:A ໓ᅣщݼ:1007-9807(2009)06-0139-110 ႄ ൧ӆັܴࢲܒં֥࣮ؓའ൞ֆ۱ᆣಊ,ᄝٳ༅ੀྟބࢌၞӮЧൈޓഒሢငႿੀྟ֥༢ੀྟ൞ሧӁᄝ؋௹ଽၛކࡎ۬ປӮ൧ӆྟᇉ.طᄝ࣮ڄགؓקࡎ֥ቔႨൈ,ಏ҂षؓࢌၞ֥ି৯,ሧӁ֥ੀྟݺ,ᄵઙછಸၞ,ࡎ۬༢ྟބ۱љྟ֥љ,ၹູׅࣜࣁವ࿐іૼᆺ໗ק,ሧᆀ֥ࢌၞӮЧ.֮ѩੀྟၹթᄝ҂Ⴕ҂ॖٳ֥༢ྟڄགҌ߶႕ཙሧӁࡎ۬.ڿॖყҩ֥э߄طऎႵ҂ಒק,ྟૌӫᆭູੀэᆃ၂अ૫֥൞Chordia֩[3],Hasbrouckބྟڄག[4].ؓሧᆀটඪ,གྷൌѩ҂թᄝཞׅ֥ࣜሧSeppi,ၛࠣHubermanބH[5]alkaؓܢௐੀྟӁקࡎनޙଆ෮ࡌഡ֥ࢌၞླӮЧaࠇླթᄝ൧ӆ܋ྟ(ࠧ༢ྟ)֥ൌᆣ࣮.ૌ࿐ࢌၞࣼၘྙӮनޙࡎ֥۬൧ӆ.ၹՎ,ੀྟބࢸؓੀྟ࣮֥ᇗྏႮ۱ุੀྟࠣఃࣜ࠶ݣ֥ڄག໙ีႋھॉ੮ࣉሧӁקࡎંଆᇏ.၂ᆰၛট,ੀྟڄགؓሧӁקࡎ֥ંၬषሇ֞ੀྟ֥༢ྟᇉࠣఃࣜ࠶ݣၬഈၩၬФޭ൪ਔ,ࠧϜੀྟඣބሧӁקࡎ৳ট,ᆃЇওਔ҂ഒ࿐ᆀෛު๙ݖൌᆣ࣮ؿགྷੀ༢ᄝ၂ఏၧ൞ՖAm[1]ihudބMྟڄགაሧӁקࡎᆭࡗ֥ཁᇷܱ༢.endelsonູ֩սі֥൧ӆັܴࢲܒંष.֥ݓଽ࿐ᆀᄝੀ҂ݖՖંଆ۳ԛࢳ֥໓ངޓഒ,ྟაሧӁקࡎਵთ္ቓԛਔ၂ק֥܊ངA[6]charyaބPedersenູแҀᆃ۱ॢϢطؿᅚਔ(ೂ්ໄބચჭ࿔[2]֩ຓളੀྟڄགטᆜ֥CAPM.ॖ൞ૌޭ൪ਔ).҂ݖ,൧ӆັܴࢲܒં࣐ܵड़קਔੀྟඣؓܢௐ߭Бੱ֥ཁᇷ႕ཙ,ؓ൧ӆੀྟڄགᇏ֥၂۱ᇗေܒӮ:ଽളੀྟੀྟڄག֥࣮ಏࣉᅚߏત.ఃჰၹ൞,Ԯ֥ڄག ,ط္ࢳ҂ਔੀྟڄགၮࡎ֥ൈэ ൬۠ರ௹:2006-11-21;ྩרರ௹:2008-05-28.ࠎࣁཛଢ:ݓࡅሱಖ॓࿐ࠎࣁሧᇹཛଢ(70373053).ቔᆀࡥࢺ:ሻཬ芃(1957!),男,浙江杭州人,副教授.Emai:lzxp_hz@ ᆃ۱ۀ൮༵ႮBangiaDieboldaSchuermannބStrougha[7]irิԛ.ૌಪູԮ֥ڄགܵ۽ऎVaRીႵॉ੮֞ൌ࠽эགྷൈ൧ӆੀྟڄག֥႕ཙ,ၹطิԛੀྟڄགטᆜ֥VaR.ૌಪູሧᆀ૫֥ؓ൧ӆੀྟڄགႮຓളੀྟڄགބଽളੀྟڄགቆӮ.ຓളੀྟڄགᆷႮ൧ӆၹ෮ႄఏ֥ૄ۱ࢌၞᆀ֩૫֥ؓࢌၞӮЧ֥҂ಒקྟ.෮໌ଽളੀྟڄག൞ᆷሧᆀໃটࢌၞൈ֥ӮЧބࢌၞժ֥նཬཌྷܱ,ၹູࢌၞժᄀնສສॖିᄀࢌၞ.෮ၛ,ᆃ֥ଽളੀྟڄགۀ൞ؓࢌၞᆀሱ࠭ط,֥ބႵུ໓ང෮ษં֥൧ӆੀྟ֥ଽളྟႵљ.Ч໓ခႨૌؓ൧ӆੀྟڄག֥ٳࢳٚم.
!140!ܵ ॓ ࿐ ࿐ Б2009୍12ᄅྟགྷའ.ႿՎ,Ч໓၇ऌᆣಊࢌၞ൧ӆ௴ђթᄝିࡨཬקࡎ༂ҵ.ࢌၞӮЧބࢌၞժնཬᆰࢤཌྷܱ֥หׄ,ႄೆݓଽ࿐ᆀᄝ୍္࣍ࠫषਔཌྷႋ֥ൌᆣଽളੀྟڄག,ؿᅚྍ֥ࠎႿੀྟڄགטᆜ࣮.અ֨ᄁ֩[13]ࢹG[14]ibsonބMougeot֥ൌᆣ֥ሧӁקࡎଆ.ଆߎႄೆਔሧᆀ֥ੀྟٚم,Ֆ൧ӆᆜุ֥࢘؇ؓݓܢ൧ੀྟڄགླሑэਈ.ੀྟླࣅᅦაڎᆰࢤ႕ཙაሧӁקࡎ֥ܱ༢ࣉྛਔൈࡗਙٳ༅.ૌ֥ሧᆀؓሧӁੀྟ֥ொݺӱ؇,ၧ߶ุགྷᄝሧੀྟڄགЇওႨླྀٚҵ؇ਈ֥൧ӆ൬ၭؓ൧ӆᆀҀӊੀྟڄག֥ေ߭Бੱഈ.ᆃॖၛࢳቆކੀྟ֥ૹۋྟڄགބႨٚҵ؇ਈ֥൧ӆቆੀྟڄགၮࡎ֥ൈэ.ྟކੀྟ֥ѯ.ੱؿགྷݓܢ൧ဢթᄝཁᇷЧ໓ު૫֥ଽಸνஆೂ༯:ֻ1ࢫੀྟڄ֥ੀྟڄགၮࡎ,طੀྟڄགᇏ൧ӆ൬ၭؓགაሧӁקࡎ࣮໓ང֥߭ܤ,ᆷԛଢభં൧ӆቆކੀྟ֥ૹۋྟڄགؓሧӁקࡎ֥႕ཙ࣮֥ۀঃބ҂ቀ.ֻ2ࢫ૭ඍଆ֥ࣜ࠶่ࡱ,۷ູཁᇷ.ဆԛBreeden Lucasၩၬ༯֥ੀྟڄགטᆜູ֥ࢳൌᆣ࣮ؿགྷ֥ੀྟڄགၮࡎགྷሧӁקࡎྙൔ.ֻ3ࢫࣉ၂҄ؿᅚԛੀྟڄགའ,Acharyaބ[6]Pedersenܒࡹਔੀྟڄགטᆜטᆜ֥CAPM,ษંఃݣၬ,ѩؓଆൌᆣݣၬࣉ֥ሧӁקࡎଆ,ٳ༅ੀྟڄགᄝሧӁקࡎᇏྛбࢠٳ༅.ֻ4ࢫࢲં.֥ቔႨࠏᇅ.ᄝؽ௹ןսࣜ࠶ଆᇏ,ૌࡌഡሧᆀऎႵधؓڄགညذ༢ඔູӈඔ֥ڵᆷඔིႨ1 ໓ང߭ܤაษંݦඔ,ܢ০ބࢌၞӮЧٳљڛՖ၂ࢨሱ่݂߭ࡱᆞٳ҃.ଆཁൕ,іགྷູ3۱ླྀٚҵྙൔ֥൧Chordia֩[3]؎,ೂݔ൧ӆᇏ֥ੀྟԊࠌӆੀྟڄག֥҂ॖٳ҆ٳ,ࠧ൧ӆੀྟ༢(liquidityshock)҂ିܔФٳ߄,ପહॖၛҩ,ڄག,႕ཙሧᆀؓሧӁ֥ყ௹߭Б,ੱᆃ3۱ؓ൧ӆሹุੀྟᄀૹۋ֥ܢௐ,߶ေႵᄀླྀٚҵٳљ൞:1)ᆣಊ֥ੀྟა൧ӆቆކੀ֥ۚყ௹߭Бੱ[8].PastorބStambaugh൮༵Ֆൌྟᆭࡗ֥܋iM,ྟࠧcov(c,c);2)ᆣಊ߭Бੱބᆣ࢘؇۳ԛᆞ૫߭ႋ.ૌϜ۱ܢ߭Бੱؓ൧ӆ൧ӆቆކੀྟᆭࡗ֥܋эྟiM,ࠧcov(r,c);3)ቆކ֥ੀྟಠ֥ૹۋ؇նཬіൕູੀྟᆣಊ֥ੀྟބ൧ӆቆކ߭Бੱᆭࡗ֥܋эྟ,ࠧiM[3] .๙ݖဒ1966୍֞1999୍ૅݓܢ൧ඔऌؿcov(c,r).ھקࡎଆड़קਔChordiaܱ֩གྷ,ᄝ॥ᇅਔFama Frenchၹሰބܸྟၹሰު,Ⴟੀྟ܋ྟ֥ൌᆣၩၬ,ࢳਔPastorބੀྟ ቋ֥ۚܢௐቆކбੀྟ ቋ֥֮ܢௐ]Stam[8baugh֩࿐ᆀܱႿ߭Бੱؓੀྟ֥ૹۋቆކन୍൬ၭੱಯۚԛ۱Ϥٳׄ.Eckbo؇Фཁᇷקࡎ֥ൌᆣࢲݔ,ದૌؓ൧ӆੀྟބN[9][10][11]orli,Wang,SadkaၛࠣAcharyaބڄག֥קࡎࠏᇅႵਔбࢠ၂֥ಪ.്[6]Pedersen္֤֩֞োර֥ܢௐޘࢩ૫ൌᆣࢲЧ໓ಪ,ູA[6]charyaބPedersenޭਔݔ,২ೂA[6]charyaބPedersenؓૅݓ1963!ਆ۱ᇗေ໙ี.ֻ1۱໙ี൞ࢌၞᇏ֥ଽളੀ1999୍NYSEބAMEX൧ӆ֥ൌᆣࢲݔཁൕ,ੀྟڄག.ૌᄝࡌഡܢௐ֥ࢌၞӮЧڛՖ၂ࢨሱྟڄགטᆜު֥CAPM֥ඔऌކ؇R2ૼཁ݂߭ݖӱൈ,ປಆϜૄֆ໊ᆣಊ֥ࢌၞӮЧԩۚݖׅࣜCAPM֥R2ᆴ,၇ऌטᆜު֥CAPMطӮຓള֥,აࢌၞᆀ֥ժնཬ.ܱᆃཁಖაൌ൧ӆ ބ3۱ੀྟ ࡆሹު֤֥֞࣪ ཁᇷֹ࠽҂ژ.ં൞ᄝБࡎ౺൧ӆߎ൞ᄝᆷ౺թᄝၮࡎ.Avramov֩[12]ؿགྷ,ႄೆੀྟቔູ൧ӆ,ࢌၞᆀေછԛ֥ժᄀն,ࣼᄀ҂ಸၞԛڄགၹሰުᅳ֥֞൧ӆቆކေб҂ႄೆੀྟၹ൭,न֞ֆ໊֥ࢌၞӮЧ္ᄀۚ.෮ၛ,ྟሰ֥൧ӆቆކ۷ࢤ࣍ႿMerton֥ICAPMၩၬ༯ሧᆀᄝथקܓઙᆣಊሧӁᆭభ,сಖေϜܓઙਈ֥؟ၹሰनٚҵႵིభခ,ၹՎॉ੮ੀྟڄགؓࡼটэགྷ֥႕ཙॉ੮ࣉሧथҦބؓᆣಊ֥ק
ֻ6௹ሻཬ芃等:流动性风险a投资者流动性需求与资产定价!141!ࡎᇏ.২ೂᄝݓ֥ᆷ౺൧ӆ,൧ӆીႵህෛሢໃটࣜ࠶කᆷඔ֥э߄طཁᇷֹэ߄.ิ܂ੀྟڛༀ֥ቓ൧അ,ࢌၞᆀཟ൧ӆ־ࢌ֥Fujim[19]otoބWatanabe๙ݖૅݓܢ൧ઙછᆷ๙ݖሱլކطӮࢌ,၂гࢠն֥ກ1965!2004୍௹ࡗ۱ܢඔऌᄜՑᆣൌਔੀྟਈॖିࣼေᄝࠫ۱ࡎ໊ഈҌିປӮ∀.ᆃሧڄགၮࡎ֥ൈэྟ.ૌؿགྷ۱ܢੀྟ ބੀᆀ҂֤҂ܱྏӻႵਈ֥նཬ໙ี,หљ൞ࠏܒྟڄགၮࡎڛՖ֮ۚਆሑሇߐุᇅሧᆀ#.(regime switching),ۚੀྟ ބۚੀྟڄགགྷႵ໓ངၧඪૼ,ֆ໊ࢌၞӮЧაࢌၞժၮࡎ֥ሑᆞ൞ሧᆀؓ൧ӆੀྟொݺ఼֥ࣜᆞཌྷܱ൞۱҂ಸޭ൪֥གྷൌ໙.ี২ೂ,ݓଽ࿐ᆀ࠶ሑ,္ࣼ൞ሧᆀੀྟླࣅᅦ֥ࣜ࠶ᇘૼ֩[15]ᄝ࣮ਔࠏܒሧᆀቋႪэགྷҦሑ.ުᆷԛ,ሧᆀᄝܒᄯሧቆކൈႋھॉ੮ໃটၹՎ,ູҀA[6]charyaބPedersenᄝᆃਆэགྷൈაກਈཌྷܱ֥ᆳྛӮЧ໙ี.ߛڂބဗ۱໙ีഈ֥҂ቀ,Ч໓ᄝߛڂބဗӔफ[16]֥ࠎԤӔफ[16]Ⴈ1995୍֞2005୍֥ݓധܢ൧֥ܢഈࡼࡹ৫٢֥ؽ௹םսଆ,๙ݖႄೆੀྟௐࢌၞඔऌࣉྛޘࢩ૫ൌᆣٳ༅,ؿགྷݓܢௐླሑэਈၛෛࠏ߄ଆᇏ֥ӻႵ௹,ൈߎקࡎᇏ෮Їݣ֥ੀྟڄགၮࡎཁᇷֹԛགྷᄝࡎॉ੮ਔଽളੀྟڄག֥႕ཙ.ෛࠏ߄ӻႵ௹ཋ۬Ԋࠌྟࢠۚࠇᆀඪֆ໊ࢌၞӮЧؓࢌၞժ࣐ܵಯࢳथ҂ਔӻႵ௹ཋ֥ଽളྟ໙ี,ିղ۷ૹۋ֥ܢௐഈ,ᆃඪૼൌᆣࢲݔᆦӻଽളੀ֞҂ေݖۚܙ࠹ੀྟؓሧӁקࡎ႕ཙ֥ଢ֥,ྟڄག႕ཙሧӁקࡎ.ൈЧ໓֥ଆିࢳA[6]charyaބPedersenA[6]charyaބPedersenޭֻ֥2۱໙ี൞ଽളӻႵ௹ཋ.ૌࡌഡሧᆀᄝֻ1௹ܓઙ,ѩ෮ࢳ҂ਔ֥ੀྟڄགၮࡎ֥ൈэྟགྷའ.ᄝֻႄೆੀྟླሑэਈ֥མمა2௹ϜӻႵ֥ᆣಊ၂Ցྟછԛ.ӻႵ௹ཋຓള߄֥ԩ߶ۚܙੀྟࢌၞӮЧؓሧᆀ֥႕H[20]olmstromބTirole֥නམ൞၂ᇁ.֥ૌᅟཙᄝ܄ඳࣁವ࢘؇ؿᅚਔࠎႿ܄ඳੀྟླ֥ሧ.ၹ,ູሧᆀປಆႵॖିхषੀྟࢠҵ֥ൈ௹ࣉྛࢌၞӁקࡎଆ,܄ඳᄝ؟௹ളӁᇏྶડቀໃটੀ,ࠇࡨഒࢌၞੱ,ࠇରྏֹᇯࡶ൲ԛ෮ӻႵ֥ᆣಊط࣐ਈࢆ֮ੀྟ෮ջট֥ڵ૫႕ྟሧࣁ֥҂ಒקླ,ၹطӁളਔؓੀྟࣁವཙሧӁ֥ླބੀྟၮࡎ,ھၮࡎაሧӁ֥ໃট.֒ಖ,ѩ٤ඪሧᆀॖၛපݸ҂൳൧ӆੀྟ֥႕ཙ,ၹູሧᆀ၂Ϯ߶მ֞ࢹվି৯Ⴕཋ൬ၭބш࠽ੀྟࡎᆴᆭࡗ֥ླྀٚҵնཬႵܱ.ࠇҍڶѯ֩ሑঃ༯֥ੀྟགྷࣁླ৯ླေ఼ט֥൞,Ч໓Ֆሧᆀ֥ཨٮሧႪ߄ྛ,֤ሧӁэགྷ֥ൈࡗջႵሧᆀ҂ॖ॥ބෛࠏ֥ྟູԛؿ,ᄝሧᆀթᄝੀྟླ҂ಒקྟ֥Мᇉ[17,18].ᆃ֝ᇁ,ٳڄག֥ࠏሧᆀؓ൧ࣟ༯,࣮൧ӆ֥۱ุੀྟaሹุੀྟބ൧ӆӆੀྟ֥ᄝެބொݺӱ؇ࡼ౼थႿ֥ੀྟੀྟڄགၮࡎ໙ี,طૌ൞Ֆሧᆀٳఃླሑሧࣁੀྟڄག֥࢘؇ԛؿ࣮ੀྟၮࡎ,.ᆞၹູA[6ૌીႵॉ੮ᆣಊ൧ӆଽ֥҆ੀྟڄག໙ี.charyaބ]PedersenીႵॉ੮ሧᆀ֥ੀྟླሑ,ૌ֥ଆمࢳੀྟڄགၮࡎ֥ൈэྟགྷའ[14].GibsonބMougeot2 ଆᄝؓ1973!1997୍ૅݓܢ൧ੀྟڄགა൧ӆӑح߭Бੱᆭࡗܱ༢֥࣮ᇏ,০Ⴈؽჭ ൧ӆGARCH in meanൌᆣॿࡏ,ؿགྷੀྟڄགၮࡎࡌഡൈࡗt=∃,-1,0,1,∃;ૄ௹ᆺႵ∀ۋ྆େബ۠ದࣼݓᆷ౺൧ӆ֥ઙછࢌၞູሱլކ֥ൌ࠽౦ঃ෮۳ԛ֥Џၩ,֒ಖ,໓ᄳሱڵ.#ࠏܒሧᆀӈӈ๙ݖϜᆣಊ֥ӻႵਈ॥ᇅᄝࠫ۱ࢌၞರ֥ࢌၞਈၛଽটղ֞॥ᇅੀྟڄག֥ଢ֥.
!142!ܵ ॓ ࿐ ࿐ Б2009୍12ᄅ1ᇕཨٮ;ቔູࡎุ۬༢֥ޙਈࠎሙֆ໊,ཨٮЧ໙,ี෮ၛॖၛҷ༥ᇯࡶછԛᆣಊ,эགྷӮЧཬࡎ۬ѓሙ߄ູ1;ሧӁ൧ӆ܋ႵJᇕᆣಊ,ֻj֞ਔޭ҂࠹;ࠇᆀሧᆀ༯௹࿃ӻႵᆣಊ,ᇕᆣಊ֥܂۳ਈ൞jS,ૄ၂ൈ௹֥ֆ໊ᆣಊޣ০෮ၛэགྷӮЧ൪ູਬ!!!ᆃॖၛुቔ൞ሱ࠭ԛDjtڛՖઔغॖڏݖӱ,൧ӆࡎ۬іൕູPjt.ᆣಊ൲۳ሱ࠭طӮູ༯௹ྍሧᆀᇏ֥၂۱.ႄೆൕ֥ੀྟඣّ႘ᄝࢌၞӮЧഈ,ᆣಊੀྟݺྟݦඔіൕթᄝਆᇕॖି֥ੀྟླሑэਈ(ҵ)ᄵࢌၞӮЧཬ(ն),෮ၛӫᆭູੀྟࢌၞ1 ੀྟླູࣅᅦሑӮЧIt+1=.ሙಒࢃ,ൌ࠽ᇏ֥ᆣಊࢌၞӮЧႋЇওܥק0 ੀྟླູ҂ࣅᅦሑٮႨaࡎ۬ԊࠌӮЧa෮ݻٮ֥ൈࡗӮЧ֩,طᄝෛࠏ߄ԩሧᆀ௹ଌ֥эགྷӮЧ,ఏ֞ਔᆃႨӮࢌࡎഈ֥ԊࠌӮЧാjqtቔູሹս,٢ބෛࠏ߄ӻႵ௹ཋ֥ቔႨ.ۀੱ t+1֥նཬࠧႨڛՖઔغॖڏݖӱ֥jqtіൕૄֆ໊ᆣಊࢌၞა෮࿊؇ਈൈࡗ֥Ӊ؋aሧᆀ෮ԩ֥൧ӆބޡӮЧ.ၹູઙછࢌၞؓ൧ӆӮࢌࡎ֥Ԋࠌ߶ෛܴࣜ࠶่ࡱ֩Ⴕܱ,ൈࡗᄀӉa൧ӆބޡܴࣜ࠶ᄀກਈ֥ᄹࡆطᄹࡆ,෮ၛࡌഡjqt൞ກਈ֥ؽՑ҂໗קᄵ t+1ᄀն.෮Ⴕ֥ෛࠏэਈקၬᄝۀॖொ֝־ᄹݦඔ.ᆃဢ,ૄ၂ກਈ༯֥ֆ໊ࢌၞੱॢࡗ(!,F,P)ഈ.ӮЧ൞ડቀઔغॖڏݖӱ֥ෛࠏэਈ,іղਔ ሧᆀ֥Ⴊ߄໙ีЧ໓֥ຓളੀྟڄགۀ;ֆ໊ࢌၞӮЧႻ൞ሧᆀ૫֥ؓੀྟڄགൌ࠽ഈЇওਆ҆ກਈ֥ᄹݦඔ,ᄵ֝ᇁሧᆀ૫ؓሢଽളੀٳ:ੀྟླ֥҂ಒקބሧӁ൧ӆ֥ੀྟڄྟڄག.ག.ᄝՎڄགჿඏ่ࡱ༯,սіྟሧᆀ๙ݖႪ߄ ሧᆀఃཨٮሧྛູղི֞Ⴈ֥ቋն߄.ሧᆀֻ1ᄝࡥֆ֥ਆ௹םսଆᇏ,ູ۷ಸၞᄎෘԩ௹ϜԚጋڮᄝཨٮაሧቆކᆭࡗቓԛᇂ,طႻ҂႕ཙࢲݔ֥ݣၬ,ࡌഡֻt௹ԛളNt۱ᄝֻ2௹۴ऌሱദ֥ੀྟླሑঃછԛᆣಊ.ᇉ֥ሧᆀ,ൈࡗொݺູӈඔ ,ིႨݦඔູؽሧᆀ֥ଢѓ൞ਆ௹௹ຬིႨቋն߄ࢨॖັχݦඔU(Ct),E[U%(Ct+1)]թᄝ,ఃᇏV(et,qt,Dt)=max{U(Ct)+Et U(Ct+1)}{x}tCt൞ֻt௹ཨٮ.սіྟሧᆀ֥Ԛጋڮູet,ѩࣉೆሧӁ൧ӆܓઙᆣಊ,ܓઙਈႨਙཟਈ(1)xt=12Js..tCt=et-Ptxt(xt,xt,∃,xt)&іൕ.ಖުᄝֻt+1௹эགྷӆ,ᆣಊછ۳ྍԛള֥ሧᆀ Ct+1=(Pt+1+Dt+1-It+1qt+1)xt.௹ଌэགྷൈ,ሧᆀѩ٤၂קᄥ൳նཬູఃᇏ:jPt=(P1t,P2t,∃,PJt),qt+1(xt)֥ࢌၞӮЧ,ᆃေुૌ֒ൈ֥ੀྟླሑೂޅ.ࡌഡੀྟླሑႵਆᇕॖିDt+1=(D1t+1,D2t+1,∃,DJt+1),:၂ᇕॖି൞ࣅᅦሑ,ሧᆀ҂֤҂၂Ցྟછԛ12xt=(xt,xt,∃J,xt)&,ಆ҆ᆣಊটડቀੀྟླ,ၹطӵքࢌၞӮЧ12Jqt=(qt,qt,∃,qt)&jqjqt൞jxt֥ؽՑॖொ֝־ᄹݦඔ.t+1(xt),ᆃᇕ౦ঃ֥ԛགྷۀੱ൞ t+1.ႄᇁ∋ࣅᅦሑ(֥ॖିၹޓ؟,২ೂ:ࡅ๖მ֞ೂఃট ੀྟڄགטᆜ֥ሧӁࡎ֥۬ҍڶ෪ඣࠇཨٮԊࠌ;ࠏܒྶડቀಖ֥ሧႮൔ(1)ؓᆣಊӻႵਈxt֥၂ࢨ่ࡱ֤ࠏ߶ࠇᆀྶטᆜሧቆކ,ၧࠇູડቀሧࣁ܂۳PjtU&(Ct)= EtU&(Ct+1))֥ٚඁ߭ྛູ.֩ਸ਼၂ᇕॖି൞ؿളۀੱູ(1-j∀qjt+1j (Pjt+1+Djt+1-It+1qt+1)-It+1x(jt(2)t+1)֥҂ࣅᅦሑ,ሧᆀэགྷൈ҂൳൧ӆੀ∀x)tྟ႕ཙ,҂ӵքjqt+1(xt)նཬ֥ࢌၞӮЧ.২ೂ,෮ၛ,ᆣಊࡎ۬ڛՖЇݣੀྟࢌၞӮЧ֥ሧᆀ֒௹ીႵຓࢸགྷࣁླ໙ีࠇఃࠏ߶Ӯঘٚӱ
ֻ6௹ሻཬ芃等:流动性风险a投资者流动性需求与资产定价!143!U&(Ct+1)֥эਈ.ई၂ห൹২ሰ:ᄝB[22]arra֥൧ӆԊࠌӮPjt=Et[ U&(C)t)Чଆ,ੀྟၮࡎږ؇൞οࢌၞժ֥ٚj∀qjjjt+1j (P۴ᄹӉ֥,ࡌೂ൧ӆԊࠌӮЧ൞ࢌၞժ֥ٚt+1+Dt+1-It+1qt+1)-It+1jxt(3)(∀x)t۴֥ཌྟݦඔ,ପહ࠹ෘॖᆩ#j߶ޚ֩Ⴟ1/2.ఃᇏ U&(Ct+1)/U&(Ct)൞Breeden!Lucasሧᆀི֥ႨݦඔҐႨӈ֥ؽՑིႨݦၩၬ༯ࠎႿཨٮ֥ሧӁקࡎଆᇏ֥ෛࠏᅼགྷၹඔ,҂ാ၂Ϯྟ,֥ఃູሰ,ູࡥьఏU(C12Ut)=-(C-C&(C2t)(5)mt+1)t+1= U&(Ct)ఃᇏӈඔC൞ԉٳն֥ᆞඔ,ၛЌᆣؓཨٮ֥٤ၹູಪູੀྟ҂ቀ֝ᇁሧӁࢌၞླေӮЧ,෮Ўބ.ྟၛൔ(3)აԮ֥ሧӁקࡎଆбࢠ,ᄝ֩ൔႷקၬ:ҧওݼ؟ਔਆཛੀྟࢌၞӮЧ.ᆃਆཛख़߂frູڄགሧӁ߭Б;ੱਔ൧ӆຓളੀྟڄགބაӻҝਈႵܱ֥ଽളੀjrt+1=(Pjt+1+Djt+1)/Pjtູᆣಊjࢌၞభ֥રྟڄགؓሧӁקࡎ֥ቔႨࠏᇅ.߭Б;ੱቋႪӻҝਈxt҂ࣇડቀ(3)ൔ,طྶડቀjjct+1=qt+1/Pjtູᆣಊj༯௹֥ཌྷؓੀྟࢌᆣಊ֥܂ཌྷ:֩ၞӮЧ;M∗jjxt=S(4)rt+1=(Pt+1+Dt+1)xt/Ptxtູ൧ӆቆކરNtၹՎ߭Б;,(3)ൔބ(4)ൔ၂ఏथקਔनޙሑൈᆣMಊ֥ࡎ۬ބሧᆀ֥ӻҝਈ.ေ֤֞ყ௹߭Бੱct+1=qt+1xt/Ptxtູ൧ӆቆކ༯௹֥ཌྷؓੀ֥ࢳྙൔߎླഡקིႨݦඔ֥ऎุྙൔྟࢌၞӮЧ;,༯૫۳ԛੀྟڄགטᆜ֥CA#M=PM∗#j(∃jjjct+1/∗(∃jct+1)ູ൧ӆቆކ.jj֥ԊࠌӮЧ,ྟ൞ֆ۱ᆣಊ֥ԊࠌӮЧྟ3 ੀྟڄགטᆜ֥CAPM֥ቆކ;∃jtіൕᆣಊᄝሧቆކᇏ෮ᅝ֥ಃᇗ.3ሧᆀᄝሧӁ൧ӆႪ߄ఃሧቆކ,ᄵᆣ.1 ੀྟڄགטᆜ֥קࡎଆູϜഈ၂ࢫ֥ሧӁקࡎଆཌྟ߄ູੀྟಊ֥ყ௹߭Бੱࡼડቀೂ༯ଁี:ڄགטᆜ֥CAPMଁี1 ൧ӆनޙሑ༯,ᆣಊ֥ყ௹߭Б,ေؓࡎ۬ԊࠌྟބིႨݦඔࣉྛࡌഡjjj.קၬ#jj=(∀qੱડቀ၂۱ੀྟڄགטᆜ֥CAPMt+1/qt+1)/(∀xt/xt)ູࢌၞժ֥ԊࠌӮЧྟ,ཁಖ#j>0 Ejfjt(rt+1)=r+(1+#j)Et(It+1ct+1)+.Chordia֩jjM[21]ၛࠣH[4]asbrouckބSeppiಪູᆣಊੀྟcov1+#jM)It+1ct+1,rRt((rt+1)-(t+1-It+1ct+1)tMMMMؿളэ߄ّ႘֥൞൧ӆࠃᄁӱ؇֥ଽᄝэၳط҂covt((rt+1)-(1+#M)It+1ct+1,rt+1-It+1ct+1)൞ࢌၞժնཬ֥э߄.طູཁྟ߄ԊࠌӮЧ(6)ྟؓሧӁקࡎ֥႕ཙބ࠹ෘ֥ٚь,ϜԊࠌӮЧࠇ֩ࡎֹྟ#jູ҂ෛൈࡗэ߄طᆺაࢌၞժႵܱjMjfcovt(rt+1,rt+1) Et(rt+1)=r+(1+#jj)Et(It+1ct+1)+RtMMMM+covt(rt+1-(1+#M)It+1ct+1,rt+1-It+1ct+1)j(1+#jMjMjM)covt(It+1ct+1,It+1,ct+1)-covt(rt+1,It+1,ct+1)-(1+#j)covt(It+1ct+1,rt+1) RtMMMM(7)covt(rt+1-(1+#M)It+1,ct+1,rt+1-It+1ct+1)
!144!ܵ ॓ ࿐ ࿐ Б2009୍12ᄅఃᇏRMMft=Et(rt+1-(1+#M)It+1ct+1-r)ູڄགڄགหᆷੀྟڄགᄝᆣಊᆭࡗمٳ֥༢ၮࡎ(ᆣૼڸ).҆ٳ.ླေᄎႨםս௹ຬקੰϜՖ༢ሹڄགᆣಊ֥߭БੱބࢌၞӮЧა൧ӆቆކ֥߭Бᇏٳԛট,ૌ൞ၛ༯ٳࢳൔֻ֥၂ཛੱބࢌၞӮЧᆭࡗ֥ླྀٚҵॖၛुቔ൞ؓሧ࣪jMjM covt(It+1ct+1,It+1ct+1)= t+1covt,I=1(ct+1,ct+1)+൬ၭ֥༢ྟڄག֥ҩ؇.აੀྟཌྷܱ֥༢ ( t+1- 2jMt+1)Et,I=1ct+1Et,I=1ct+1(8)ڄགҩ؇൞ఃᇏ֥3۱ླྀٚҵjMjM covt(rt+1,It+1ct+1)= t+1covt,I=1(rt+1,ct+1)+,ࠧൔ(7)ᇏ֥jMjMMj (1+#j)covt+1Et,I=1ct+1(Et,I=1rt+1-Ejtrt+1)(9)t(It+1ct+1,It+1,ct+1)acovt(rt+1,It+1ct+1)jMjMބjMjM covt(It+1ct+1,rt+1)= t+1covt,I=1(ct+1,rt+1)+(1+#j)covt(It+1ct+1,rt+1).covt(rt+1,rt+1)ᄵ൞MФׅࣜCAPMധख़ษં֥ࡎ۬ڄགૹۋ؇,൞ؓ t+1Ejt,I=1ct+1(Et,I=1rt+1-EMtrt+1)(10)ֆՂ֥༢ྟࡎ۬ڄག֥؇ਈ.ၹՎ,ൔ(7)іఃᇏջ༯ѓI=1֥௹ຬᆴބླྀٚҵіൕIt+1=1ૼൈ่֥ࡱ௹ຬބ่ࡱླྀٚҵ,ູٚьఏ,Վԩބ:ሧᆀؓყ௹ੀྟࢌၞӮЧေၮࡎҀӊ,ؓֆՂ֥༢ྟࡎ۬ڄགေڄགҀӊ,طߎ༯໓I֥༯ѓt+1സ.jMMؓሧ࣪൬ၭᇏ҂ॖٳ֥ੀྟڄགေڄགcovt,I=1(ct+1,ct+1)ބjcovt,I=1(rt+1,ct+1)ၛࠣjMҀӊcovt,I=1(ct+1,rt+1)ࣼ൞Ч໓ေᅳ֥൧ӆੀྟ༢.ڄག֥ҩ؇,ૌ൞ᆣಊ֥߭Бੱބੀྟაൔ(6)ބ(7)ुරӉ,ѩ҂گᄖ.קၬ൧ӆቆކ֥߭Бੱބੀྟᆭࡗ֥ླྀٚҵܱ༢.࣪betaϜൔ(9)aൔ(10)ބൔ(11)սೆൔ(7)ࣼିٳ༅jjMMcov net,jt(rt+1-(1+#j)It+1ct+1,rt+1-It+1ct+1)ૌބყ௹߭Бੱᆭࡗ֥ܱ༢.ٳ༅భ,ླေႄt=MMMMcovt(rt+1-(1+#M)It+1ct+1,rt+1-It+1ct+1)1.ᄵଁี1іૼ:ૄ۱ᆣಊj֥ڄགၮࡎj(Et(rt+1)-ႄ1 ༢ሹڄག֥ֆ໊ࡎ۬%t=jf(1+#j)Et(It+1ct+1)-r)ބሱ֥࠭ڄགૹۋ؇RtMMMM>0. net,jӯཌྟܱ༢,༢ඔ൞܋֥ڄགၮࡎRcovt(rt+1-It+1ct+1,rt+1-(1+#M)It+1ct+1)ttjfjnet,j E(ᆣૼڸ)t(rt+1)=r+(1+#j)Et(It+1ct+1) tRt(7)ೂݔؓൔ(7)ᇏ֥ੀྟඣཛބੀྟླྀႄ1ิൕ,սі൧ӆੀྟ༢ڄག֥3۱ٚҵཛᄜቓ༥ᇁٳࢳླྀٚҵაყ௹߭Бੱᆭࡗ֥ཌྷܱܱ༢൞ᆞ൞ڵᆰ,ࡼ߶֤֞Ⴕൌᆣၩၬ֥ଆݣၬބଁีࢤႮૌᄝൔ(7)ᇏభ૫֥ࡆࡨݼ෮थק.ऎุ.1֥ཌྷܱܱ༢ೂ༯:)ੀྟඣ֥ၮࡎjMႮםս௹ຬקੰᆩ֡ covt,I=1(ct+1,ct+1)ख़߂ᆣಊੀྟ֥൧ӆ܋ྟ,܋ྟᄀ఼֥ᆣಊ,ᄀ҂ିϺᇹሧᆀٳ൧(1+#j)Ejt(It+1ct+1)=ӆᆜุੀྟ༯ࢆބ൧ӆ֥֮ڄག,ၹՎ,ᆃᇕ t+1(1+#jj)Et(ct+1|It+1=1)൧ӆ܋ྟ֥նཬაሧᆀေ֥ყ௹߭Бੱ߶൞ၹՎ,ყ௹ੀྟඣ+(ࠧEjt(ct+1I|t+1=1))ؓ־ᄹݦඔܱ༢;ყ௹߭Бੱ֥႕ཙ࣮ࣨႵ؟ն,౼थႿ༯၂௹jM covt,I=1(rt+1,ct+1)൞ᆣಊ֥߭Бੱა൧ӆሧᆀ֥ੀྟླࣅᅦӱ؇(ࠧۀੱ t+1)ބᆣቆކੀྟᆭࡗ֥ླྀٚҵ.Ⴎൔ(7)aൔ(10)ބႄಊሱദ֥ԊࠌӮЧྟ#j.1ॖᆩ,ླྀٚҵᆴᄀն֥ᆣಊᄵሧᆀေ֥2)൧ӆੀྟ༢ڄགjMcovt,I=1(ct+1,ct+1)aყ௹߭Бੱ߶ᄀཬ.ᆃ൞ၹ,ູھླྀٚҵն֥ᆣjMjMcovt,I=1(rt+1,ct+1)ބcovt,I=1(ct+1,rt+1)ಊ,ିᄝ൧ӆᆜุੀྟэߊa൧ӆ֮ൈջ۳ა໓ངཌྷ၂ᇁ,෮໌ᆣಊ֥൧ӆੀྟ༢ሧᆀۚ߭Б,Ϻᇹሧᆀַპሧാ.ၹՎ,ླྀ+ሙಒࢃ,൞ሧᆀੀྟླࣅᅦ่ࡱ༯֥ყ௹ੀྟඣ.ೂݔሧᆀ۱ದ֥ੀྟླሑ৫ႿሧӁੀྟ֥߅j,ᄵE(ctt+1|It+1=1)=Ej(ctt+1),ੀྟླሑ่ࡱࣼॖസ.
ֻ6௹ሻཬ芃等:流动性风险a投资者流动性需求与资产定价!145!ٚҵᄀն֥ᆣಊ,ሧᆀؓૌေ֥߭Бੱᄀ༢ڄག֥ֆ໊ࡎ۬֩Ⴟ t+1%t,ၹՎڄགၮࡎ,֮ᆣಊקࡎᄵཌྷؓ߶ᄀ;ۚ߶ෛ t+1֥э߄طթᄝൈэ.ྟjM∀covt,I=1(ct+1,rt+1)൞ᆣಊ֥ੀྟބ൧ӆ ଆൌᆣݣၬ֥бࢠٳ༅ቆކ߭Бੱᆭࡗ֥ླྀٚҵ.Ⴎൔ(7)aൔ(11)ބႄЧଆ൞ׅࣜCAPMၛࠣAcharyaބ1ॖᆩjM,cov[6]t,I=1(ct+1,rt+1)ᄀնᄵሧᆀ෮ေPedersen֥ঔᅚ,ૌႵଽᄝ৳༢:ೂݔሧӁ൧֥ყ௹߭Бੱᄀ֮.֡ᄝႿՎোᆣಊᄝᆜ۱൧ӆଉ҈,ીႵੀྟၮࡎ,ൔ(7)ᄵ߄ູׅࣜӆ༯יൈఃࢌၞӮЧّطэཬ,෮ၛሧᆀ჻ၩCAPM.ೂݔ൧ӆթᄝੀྟ໙,ีੀྟڄགӻႵᆃဢ֥ᆣಊၛٳ൧ӆ༯יڄག,ၹՎေ૫ીႵଽളੀྟڄགၛࠣ҂թᄝੀྟླ߭Бੱࣼбࢠ.֮ሑ֥҂ಒקྟ,ཌྷႋֹ,ԊࠌӮЧྟ༢ඔᆃ3۱ླྀٚҵაA[6]charyaބPedersen֥3۱ླྀٚҵ֥љࣇࣇᄝႿЧ໓֥Ⴕ༯ѓI=1,ၹ#j=0,ൕྟݦඔIt+1္҂թᄝਔ,ᄵൔ(7)߄Ӯطބૌ֥ࠎЧܴׄ൞၂ᇁ.֥ط༯ѓAcharyaބPedersen֥ੀྟڄགקࡎଆ.෮I=1֥ݣၬູ:ሧᆀ۷ᄝެੀྟླࣅᅦൈ֥ᆣಊაၛ,Ֆൌᆣၩၬु,ׅࣜCAPMაAcharyaބ൧ӆᆭࡗ֥ླྀٚҵܱ༢.Ч໓ಪູ,ંሧᆀ֥Pedersen֥ଆᄝЧଆ֥ݤۂᆭଽ.ᆣऌੀྟླ൞ڎ৫Ⴟᆣಊა൧ӆࡗ֥ླྀٚҵܱೂ༯.༢1)Ч໓აAcharyaބPedersen֥ଆି,ሧᆀ൞ᄝੀྟླᄀࣅᅦ֥ൈީ,ᄀᄝެ൧ӆੀྟ.֒ሧᆀ֥ੀྟླᄀࣅᅦൈܔࢳૌၛࠣPastorބStam[8]baughaઅ֨ᄁ,эགྷఃሧሧӁၛҀԉੀྟགྷࣁ֥ॖିྟᄀ֩[13]֩࿐ᆀൌᆣؿགྷ֥jMjMcov(c,c)acov(r,c)նބjMcov(c,r)֥ၮࡎགྷའ.ط,Ч໓֥ଆߎॖ,ၹطؓੀྟіགྷԛ۷఼֥ொݺބေ۷֥ۚڄགٳି৯,ؓੀྟඣބڄག֥ၮࡎ߶ࢳAcharyaބPedersenଆ҂ିࢳֹ֥ٚ:ק֤[6] AcharyaބPedersenᄝൌᆣଆ֥ੀ.ۚۀੱ t+1іൕਔੀྟླࣅᅦ֥ӱ؇,෮ၛሧᆀؓ3۱൧ӆੀྟ༢ڄག෮ေ֥ྟඣEp(ct)భࡆਔ၂۱༢ඔ&,,ીႵοֆ໊ၮࡎაۀੱ ᅶૌ֥ંଆϜ&ሙູ1,ط൞ҐႨᄅt+1ႋӮ־ᄹܱ༢.Ϝൔ(9)aൔ(10)ބൔ(11)սೆൔ(7)ॖᆩ,ᆃ۱ֆ໊ၮࡎ֩नߐ൭ੱնཬቔູ&֥ሙᆴ,২ೂ,ૌϜ෮Ⴟ Ⴕܢௐοੀྟ֮ۚٳູ25۱ሧቆކުࣉྛt+1%t.࣐ܵ%t֥࠹ෘ܄ൔႅݣሢэਈ t+1,Ֆ%t֥࠹ෘ܄ൔᇏ҂ିܔሙಒᅳԛ%tބ t+1ᆭࡗ൞݂߭ٳ༅ൈ,&Фሙູ.ఃൌ,ᆃᇕሙڎթᄝֆט֥־ᄹܱ༢,ሧᆀؓሧڄགᆞݺژކЧ໓ܱႿۀੱ −႕ཙੀྟၮࡎ֥(Їওࡎ۬ڄགaሧࣁੀྟڄགބ൧ӆੀྟଁีݣၬ.ၹູ,&֥ᆃᇕሙٚൔ൞ؓᆣಊૄڄག֩)֥ֆ໊ေ߭Бੱ(ࠧ%t)ႋھ౼थႿᄅनછԛۀੱ֥൙భܙ࠹,ཌྷ֒ႿЧ໓֥ .ሧᆀЧദ֥ڄགӵ൳ି৯֩ၹ,طაڄགЧദ۬ࢃ,ᆣಊછԛۀੱߎေնႿ֩Ⴟ ,ၹູഈ֥նཬཌྷ৫,ࠎႿՎ,%t֥նཬა t+1ႋ൞ܱ໓ᆷԛ,છԛѩ҂ၩሢ၂ק߶ӵ൳ࢌၞӮЧ.֥ၹՎ,൧ӆੀྟ༢ڄག֥ֆ໊ၮࡎ൞ t+1ാ.֥ᄹݦඔ, t+1֥ൈэྟ߶֝ᇁੀྟڄགၮࡎ ਸ਼ຓ,&ܙ࠹ᆴᄝૌ҂֥ٳቆဒᇏ֥ൈэྟ.ཁᇷնႿοनߐ൭ੱሙ֥ᆴ:οੀྟۚሸކЧࢫٳ༅,֤ԛೂ༯ଁี.֮ܒᄯ҂ሧቆކࣉྛ݂߭ٳ༅ൈ&֥ሙᆴଁี2 ԊࠌӮЧྟ#j႕ཙყ௹߭Бੱᄝ൞,طܙ࠹ᆴູ(t࠹ਈູ);οᆣಊᆭࡗ֥ҵၳ.ੀྟၮࡎ൳ t+1႕ཙ;ੀྟੀྟ҂໗קӱ؇ܒᄯሧቆކࣉྛ݂߭ٳ༅ൈ,ૌ֥ൌᆣଆ൞Ep(r-fr)=#+&Ep(c)+ net,p.ᆃ, іൕրܙ࠹֥൧ӆቆކ่֥ࡱڄགၮࡎ,҂ႿЧ໓ᇏ ֥ݣၬ.tttഈѓpіൕଖ۱ሧቆކp,cіൕሧቆކp֥ֆ໊नࢌၞӮЧ, net,pіൕॉ੮൧ӆੀྟڄགު֥࣪beta.བྷ༥ඪૼ౨ҕॉ໓tང[6]385!405်.−ၹູ҂ॉ੮ൈࡗ่ࡱၹ,෮ၛಀൈࡗ༯ѓ.
!146!ܵ ॓ ࿐ ࿐ Б2009୍12ᄅ&֥ሙᆴ൞,طܙ࠹ᆴູ(t࠹ਈંଆ༯ؿགྷਔൈэྟགྷའ.ૌൌᆣؿགྷ,ᄝູ);ሧቆކބ൧ӆቆކο֩ಃᇗمܒۚѯੱۚߐ൭ੱሑ༯,ܢௐ֥ੀྟ бࢠᄯࣉྛ໗ࡲྟ݂߭ဒൈ&֥ሙᆴ൞,ն,ѩੀྟڄགၮࡎཁᇷ,ط֮ѯੱ֮ߐ൭طܙ࠹ᆴູ(t࠹ਈູ);ሧቆੱሑ༯֥ੀྟ ᄵཬ,ڄགၮࡎ္҂ཁᇷ.Чކބ൧ӆቆކο൧ᆴಃᇗمܒᄯࣉྛ໗ࡲྟ߭໓֥ଆିܔࢳᆃ၂གྷའ.ၹູ,֥ۚѯੱބ݂ဒൈ&֥ሙᆴ൞,طܙ࠹ᆴູ0.ߐ൭ੱᆷѓ൞ФૌႨၛіൕሧᆀؓੀྟ֥081(t࠹ਈູ);֒οܿଆնཬܒᄯሧொݺӱ؇бࢠ఼֥սᆷѓ,طૌ֥ੀྟቆކࣉྛ݂߭ൈ&֥ሙᆴ൞,طܙ࠹ᆴ ֩ࡎႿᆃ֥jMcovt,I=1(rt+1,ct+1),ၹՎ,ૌؿູ(t࠹ਈູ);༵οB/Mնཬؓགྷ֥൞ሧᆀᄝ҂֥ੀྟொݺ༯ࠇᆀඪ҂۱ܢٳቆᄜᄝቆଽοܿଆٳቆުࣉྛ݂߭ٳ༅֥ੀྟࣅᅦӱ؇༯෮ေ֥ڄགၮࡎթᄝࢠնൈ&֥ሙᆴ൞0 045,طܙ࠹ᆴູ(t࠹ਈູҵၳ֥གྷའ.෮ၛ,Ч໓֥ଆ္ູૌ֥ൌᆣࢲ).ᆃ၂གྷའAcharyaބPedersen҂ିࢳ,ିܔᄝૌ֥ଆᇏᅳ֞ࢳճݔิ܂ਔં۴ऌ.:&ሙᆴ࣍ර֩Ⴟ3)ݓଽܢௐ൧ӆ֥ൌᆣ໓ངᆦӻЧ໓֥ଆ ֥ܙ࠹ᆴ,&ܙ࠹ᆴൌ࠽ഈ൞ؓᇏܱႿଽളੀྟڄགҀӊ֥ࢲં/.Ԣਔഈ (1+#)ᆭܙ࠹,෮ၛܙ࠹ᆴնႿሙᆴ,ᆃᆞ൞ؓ#ބ ܋႕ཙੀྟၮࡎଁี֥Ⴕ໓ၘඍ֥ߛڂބဗӔफ[16]෮ቓ֥ൌᆣ۽ቔᆦ৯ဒᆣӻଽളੀྟڄག႕ཙሧӁקࡎ,්ໄބચ.ჭ࿔[2]֥ൌᆣٳ༅္۳ԛਔোර֥ൌᆣᆣऌ.2)Ч໓֥ଆߎିࢳᄝ໓ངሸඍᇏ෮ิ֥֞ੀྟڄགၮࡎൈэྟགྷའ[14,19],طׅࣜૌႨߐ൭ੱቔູੀྟᆷѓ,ؓݓധܢCAPMၛࠣA൧1999୍1ᄅ֞2003୍7ᄅᆭࡗܢௐ߭Бੱ֥charyaބPedersen֥ଆࢳ҂ਔھགྷའ.G[14]ibsonބMougeotႨS&P500ܢௐ݂߭ٳ༅ཁൕ,ܢௐߐ൭ੱᄀ֮ࠧੀྟඣ֥ࢌၞܢඔս൧ӆቆކੀྟᆷѓ,ૌϜ൧ᄀ֮ᄵ֥ყ௹߭Бੱᄀն,ط൞ၛ־ᄹӆቆކੀྟބ൧ӆቆކ߭Бੱᆭࡗ֥ླྀٚҵ؇ᄹն,္ࣼ൞ඪ,ܢௐყ௹߭БੱᇏႵੀྟ∋MҀӊ,طؓੀྟඣ֥Ҁӊ༢ඔ(݂ࠧ߭༢L,tቔູሧ൬ၭᇏ֥൧ӆੀྟڄག,ᄵః݂߭༢ඔ൞൧ӆੀྟڄག֥ֆ໊ࡎ.۬ࢲݔؿགྷ,ඔ)൞ෛሢੀྟඣ֥༯ࢆطᄹն.֥طܢௐܢ൧ੀྟڄགֆ໊ࡎ֥۬նཬཁᇷֹ۵ෛૅݓੀྟඣᄀ֮,ܢௐ֥ԊࠌӮЧྟᄀն,෮ૄᄅ֥ࣜဒකᆷඔ.(Rec)طэ߄.ૌીၛ්ໄބચჭ࿔[2]֥ဒࢲݔ္൞ᄝඪૼ,Ⴕ۳ԛଆࢳ.҂ؿགྷ,ૌ֥∋ML,tᆺ҂ݖԊࠌӮЧྟᄀն֥ܢௐࡼࠆ֤۷֥ۚؓੀϜЧ໓֥jMcovྟඣ֥Ҁӊ༢ඔ,ࠧૌ෮ؿགྷ֥ݓധt,I=1(rt+1,ct+1)ᇏ֥۱ܢ߭Бੱ(ࠧjrt+1)ูߐӮਔ൧ӆቆކ߭Бੱ(ࠧrM,t),ཌྷႋֹ۱ܢ֥ੀྟҀӊིႋູЧ໓֥ଆࢲંิ܂ّ႘ਔ൧ӆቆކሧ൬ၭ֥ੀྟڄག,෮ၛაਔൌᆣᆣऌ.Ч໓֥ੀྟڄགޙਈٚمބၮࡎݣၬ൞၂ᇁ.֥ᇙ෮ᇛᆩ,ᄝࣜ࠶ක௹ሧᆀ֥ੀྟླ4 ࢲ ં߶Ⴟࣅᅦ,ၹՎRecᆷඔّ႘ሢሧᆀੀྟླ֥ࣅᅦӱ؇.෮ၛ,ૌ֥ൌᆣؿགྷᆞ൞Ч໓ੀྟބ֥ڄག໙ีᄝׅ֥ࣜሧӁקࡎन֥ଆ෮ყൕ,֥طЧ໓ູૌิ܂ਔᆞൔ֥ଆޙଆᇏӈФޭו,གྷൌᇏ,ੀྟڄགಏ൞ٳ༅.ሧᆀ,Ⴍః൞ࠏܒሧᆀ,ᄝ൧ӆࢌၞᇏ૫ਢ֥[19]FujimotoބWatanabe္൞ᄝીႵ֥۬ᇶေڄགᆭ၂.ᄝሧӁקࡎᇏྟሧᆀ߶ေ.Recᆷඔ൞ؓໃট϶୍ଽૅݓࣜ࠶ࣉೆක௹֥ۀੱܙ࠹,ႮૅݓNBERิ܂./ۋ྆େബ۠ದࡹၰᄹࡆݓଽܢ൧ൌᆣᆣऌ֥Џၩ.
ֻ6௹ሻཬ芃等:流动性风险a投资者流动性需求与资产定价!147!ཌྷႋ֥ڄགҀӊ.Ч໓۳ԛੀྟڄགטᆜ֥ሧࢌၞժնཬᆰࢤཌྷܱ֥ห.ׄЧ໓ؿགྷ,֒൧ӆӁקࡎଆ,ᆷԛੀྟڄགᇏ҂ॖٳ֥༢թᄝଽളੀྟڄགൈ,ሧӁ֥ࡎ۬ԊࠌӮЧྟ҆ٳҌ߶႕ཙ֞ሧӁࡎ۬ބყ௹߭Бੱ֥նྟࡼ൞ყ௹߭БੱᄝሧӁᆭࡗթᄝҵၳ֥႕ཙཬ,ൈ္ᆣૼਔሧᆀؓყ௹ੀྟඣ֥ၮၹ.ࡎေ.Ч໓ؓགྷႵੀྟڄགაሧӁקࡎ࣮໓ང୍࣍ࠫႤགྷ֥ൌᆣ໓ངဒᆣਔੀྟڄགၮ֥ਸ਼၂ཛҀԉ൞ႄೆሧᆀ֥ੀྟླሑބࡎ֥ཁᇷ,ྟЧ໓ܒࡹ֥ଆॿࡏିܔϺᇹದૌෛࠏ߄ሧᆀ֥ᆣಊӻႵ௹ཋ.ಪ,ູሧᆀᄝੀࢳᆃུགྷའМު֥קࡎࠏᇅ.ᄝᄡAcharyaྟླᄀࣅᅦ֥ൈީؓ൧ӆੀྟ֥ڄགٳބ[6]PedersenႵܱੀྟڄགၮࡎ֥ࠎЧܴׄି৯ᄀुᇗ,ؓ൧ӆੀྟᄀᄝެ,ၹطڄགၮࡎᆭຓ,აૌཌྷбࢠ,ଽളੀྟڄག֥ႄೆЧק֤ᄀۚ.Ч໓֥ଆࢠݺֹࢳਔФൌᆣؿགྷ໓ଆ۷ژކᆣಊࢌၞ൧ӆ௴ђթᄝࢌၞӮЧބ֥ੀྟڄགၮࡎ֥ൈэྟགྷའ.ҕॉ໓ང:[1]AmihudY, askspread[J].JournalofFinancialEconomics,1986,17(2):223!249.[2]්ໄ,ચჭ࿔.ੀྟაሧӁקࡎ:ࠎႿݓܢ൧ሧӁߐ൭ੱაყ௹൬ၭ֥ൌᆣ࣮[J].ࣜ࠶࣮,2004,39(2):95! we,iMaiYuan :AnempiricalexplorationofturnoverandexpectedreturnsonChinesestockmarkets[J].EconomicResearchJourna,l2004,39(2):95!105.(inChinese)[3]ChordiaT,RollR,[J].JournalofFinancialEconomics,2000,56(1):3!28.[4]HasbrouckJ,,orderflowsandliquidity[J].JournalofFinancialEconomics,2001,59(3):383!411.[5]HubermanG,[J].JournalofFinancialResearch,2001,24(2):161!178.[6]AcharyaVV,[J].JournalofFinancialEconomics,2005,77(2):375!410.[7]BangiaD,DieboldFX,SchuermannT,,withImplicationforTraditionalMarketRiskMeas urementandManagement[R].WorkingPaper,WhartonFinancialInstitutionsCenter,December21,1998.[8]PastorL,[J].JournalofPoliticalEconomy,2003,111(3):642!685.[9]EckboBE,Norli .PervasiveLiquidityRisk[R].WorkingPaper,DartmouthCollegeandUniversityofToronto,2000.[10],LiquidityRiskandAssetPricing[R].WorkingPaper,UniversityofCalifornia,LosAngeles,2003.[11][R].WorkingPaper,UniversityofWashington,2004.[12]AvramovD,ChaoJ,[R].WorkingPaper,UniversityofMaryland,2002.[13]અ֨ᄁ,Խڂ,ٜᆒૼ.ᇏݓܢ൧ሹੀྟაሧӁקࡎܱ༢ൌᆣ࣮[J].ᇏݓܵ॓࿐,2007,15(2):33!,WangChunfeng,[J].ChineseJournalofManagementScience,2007,15(2):33!38.(inChinese)[14]GibsonR,:EmpiricalevidencefromtheUSstockmarket[J].Journal
!148!ܵ ॓ ࿐ ࿐ Б2009୍12ᄅofBankingandFinance,2004,28(1):157!178.[15]ᇘૼ,ਾݚ,Ԋڃ.ࠏܒሧᆀ֥ቋႪэགྷҦ[J].ܵ॓࿐࿐Б,2002,5(5):18!,LiuHailong,[J].JournalofManagementSciencesinChina,2002,5(5):18!22.(inChinese)[16]ߛ ڂ,ဗӔफ.ੀྟڄགაܢௐקࡎ:টሱݓܢ൧֥ࣜဒᆣऌ[J].ܵൗࢸ,2007,5:30!,:EmpiricalevidencefromChinesestockmarkets[J].Manage mentWorld,2007,5:30!39.(inChinese)[17][J].JournalofEconomicTheory,2002,109(1):104!129.[18]LynchAW,:TheRolesofReturnPredictability,WealthShocksandState DependentTransactionCosts[R].NBERWorkingPaper,,2004.[19]FujimotoA, VaryingLiquidityRiskandAssetPricing[R].WorkingPaper,UniversityofAlbertaandRiceUniversity,2005.[20]HolmstromB,:Aliquidity basedassetpricingmodel[J].JournalofFinance,2000,56(5):1837!1867.[21]ChordiaT,SubrahmanyamA,[J].JournalofFinancialEco nomics,2001,59(1):3!32.[22][M].Berteley,California:BarraInc.,,liquiditydemandofinvestorsandassetpricingZOUX1iao peng,HUANGF2eng,YANGC3hao ,ZhejiangUniversity,Hangzhou310027,China;,Hangzhou310006,China;&Managemen,tShanghaiJiaotongUniversity,Shanghai200052,ChinaAbstract:Inassetpricingtheories,,introducesliquiditydemandasastatevariablegivingrisetotherandomholdinghorizon,anddevelopsaliquidityrisk nousliquidityriskonassetpricing,wefindthatdifferentelasticityvaluesofpriceimpactcanmakeacross ,andcouldinducetheknowntime :liquidityrisk;liquiditydemand;assetpricingڸ:U&(C(C-Cଁีmt+1)t= = +1)(t+11֥ᆣૼ:)&(C)t(C-C)tၹູሧᆀི֥ႨݦඔູؽՑݦඔ,෮ၛෛࠏᅼགྷၹູሧᆀ൞ᇉ֥,෮ၛսіྟሧᆀ֥ሧቆၹሰmt+1֩Ⴟކࣼ൞൧ӆቆކ,طሧᆀֻ֥ؽ௹ཨٮඣᄵႮ൧ӆ
ֻ6௹ሻཬ芃等:流动性风险a投资者流动性需求与资产定价!149!ቆކ֥࣪߭Б෮थק.ᇗྍᆜൔ(1)ᇏؓt+1௹ཨٮ֥1a=-bEMM(rtfttt+1-It+1ct+1)ჿඏ่ࡱطႵrCM-1EMM((r-Ic)(1+#M)-fr)tt+1t+1t+1t+1=M(rt+1-It+1ct+1)(e-C)()ttb=tf෮ၛrcovMM(r-IcM,r-(1+#M)IcM)tt+1t+1t+1t+1t+1t+1,֤֞ෛࠏᅼགྷၹሰބ൧ӆቆކ࣪߭Бੱᆭࡗ֥ཌྟܱ༢()mMMϜൔ()սೆൔ()ูߐוaބb,ቋᇔ֤֞ଁี1ttt+1=a+b(rttt+1-Ict+1t+1)()ఃᇏa= C/(C-C),b=- (e-C)/(C-C֥ࢲݔ.ᆣи.).ttttttႮൔ()֥ࢲݔ,ൔ(3)߄ູሧӁ߭Бੱႄ1֥ᆣૼ:jrt+1֥ܱ༢ൔႮཨٮ֥٤Ўބྟ่ࡱ,Ⴕ(C-C)>0,෮ၛႮbtt֥קၬ֤1=EM((a+Mb(rtttt+1-It+1ct+1)))b<0jjt (rt+1-Ict+1t+1-jIt+1ct+1#j))()ᆃ֥ᆣಊj൞ሧӁ൧ӆၩ֥ᆣಊ,ၹՎႻf,rնႿਬ,෮ၛႮൔ()ᇏܱႿb֥֩ൔॖᆩt,ᄝ၂۱ྟ֥൧ӆᇏሧᆀؓޅᆣಊ֥קࡎ߶ડቀഈൔR.%=ttMMMڄགሧӁcov(rtt+1-I,rt+1ct+1t+1-(1+#MM=)It+1ct+1)frބ൧ӆቆކMrt+1ሱಖ္ડቀഈൔ,০Ⴈᆃ၂൙ൌ๙ݖMEM(rtt+1-(1+#MM)It+1,ct+1-fr)()ܱႿfrބrt+1֥৳৫ٚӱቆॖϜҕඔaބbttMMMcov(rtt+1-I,rt+1ct+1t+1-(1+#MM>0ᆣи.)It+1ct+1)ಒק༯ট(ഈࢤֻ124်)p(∋2b+1)~IG(b,B)iiii2p(∋2)31exp(-B/∋)ఃᇏIGіൕInverseGammadistribution.ᄜࡌק༵ဒٳ҃i∋2iiiᆭࡗཌྷ৫ުဒૡ؇ݦඔູ.((,∋21i=1,2,∃,m)֥ުဒ৳ކٳູ҃immbi+1BTi/2i1h(∋2)31expp(()2p(∋2))i2(∋2-T/2)i)i-)i∋2∋2∋2iiii=1i=1Tt+T-1ii11exp- exp-2∗[(XR-X()&!-1(XR-X()][(XR(i)-X(i)((i))&(XR-X(i)()]ttttttttt=12∋2∗it=ti(֥ުဒٳູ҃t+T-1b+T/2+1iiii1 31exp-B1+[(XR(i)-1 h(()3exp-((-(∋2∋2i2∗tiit=ti20)&B0((-(0))1TT X(i)()&(XR(i)-X(i)()]~IG(b+T/2,B+tttiii exp--12(&∗X&!X(-2(&X&!-1XRtt∗ttt=1t=1ti+Ti-111 (XR(i)-X(i)()&)(XR(i)-X(i())2∗tttt 3^exp-[((-()&B2n((-(^)]t=tiఃᇏఃᇏtіൕֻi۱ᅏಊ֥ဢЧषൈࡗ,T൞ֻi۱ᅏiiTಊ֥ဢЧࡗ֥նཬ(T4T).ၹՎ∋2֥ުဒٳ҃ಯiiBn=B0+∗X&!-1Xtt൞InverseGammadistribution,ਆ۱ҕඔٳљ൞b+it=1TT/2ބi(^=B-1n(B0 0+∗X&!-1XR)ttti+Ti-1t=1(֥ުဒٳ҃ಯ൞ᆞٳ҃,ऎุྙൔູB1+(XR(i)-X(i)()&(XR(i)-X(i)().i2∗ttttt=ti(XRႵਔުဒٳ҃,ࣼॖၛοѓሙ֥MCMCٚمؓҕඔࣉ,X,∋2~N((^,B-1|ttin)ᄜটु∋2֥ުဒٳ҃.ః༵ဒૡ؇ݦඔູྛܙ࠹.i
