Asset Pricing with Liquidity Risk
Asset Pricing with Liquidity Risk
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DOI：
10.2139/ssrn.366300
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发表时间：
2003-01
期刊：
影响因子：
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通讯作者：
V. Acharya;L. Pedersen
中科院分区：
文献类型：
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作者：
V. Acharya;L. Pedersen
本文研究具有流动性风险（流动性随时间不可预测的变化而产生的风险）的均衡资产定价。结果表明，证券的所需回报取决于其预期流动性、自身回报的协方差、流动性与市场回报的非流动性以及市场流动性。这就产生了流动性调整的资本资产定价模型。此外，如果证券的流动性是持久的，对其流动性不足的冲击会导致同期回报率较低，而预测的未来回报率较高。基于横截面测试的经验证据与定价的流动性风险一致。
This Paper studies equilibrium asset pricing with liquidity risk (the risk arising from unpredictable changes in liquidity over time). It is shown that the required return on a security depends on its expected illiquidity, the covariances of its own return, illiquidity with market return, and market illiquidity. This gives rise to a liquidity-adjusted capital asset pricing model. Further, if a security's liquidity is persistent, a shock to its illiquidity results in low contemporaneous returns and high predicted future returns. Empirical evidence based on cross-sectional tests is consistent with liquidity risk being priced.