基于流动性风险的资本资产定价模型被引量：15

Capital Asset Pricing Model Based on Liquidity Risk

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摘要在现有的资产定价理论基础上,研究了考虑流动性风险因素的风险资产定价问题。首先在无套利下对流动性风险进行定价,得到流动性风险的市场价格,进而给出了无风险资产和风险资产的有效前沿。再从风险构成的角度给出了流动性风险的测度和市场价格,推导出两种形式的基于流动性风险的资本资产定价模型(以相对量表示风险的LBCAPM和以绝对量表示风险的LBCAPM)并揭示了资产期望回报的形成过程。最后,介绍了定价模型的应用前景。 Based on the recent asset pricing theories, the pricing of risky asset with liquidity risk is studied in this paper. Firstly, the pricing of liquidity risk under no-arbitrage is dissussed, and the market price of liquidity risk is pbtained and the efficient frontier of a portfolio with one risk-free asset is gived. Then, from the perspective of risk composition, the measure and the market price of liquidity risk is proposed, and liquidity risk-based capital asset pricing model with two types of expression（LBCAPM with the relative amount of risk and LBCAPM with the absolute volume of risk）is induced, which describes the process of asset expected return formation. In the end, the possible application of the asset pricing model is indicated.

作者周芳张维周兵

机构地区天津大学理学院天津大学管理与经济学部华闻(北京)管理顾问有限公司

出处《中国管理科学》 CSSCI 北大核心 2013年第5期1-7,共7页 Chinese Journal of Management Science

基金国家自然科学基金资助项目(71131007 71001077 71071109 70601021) 教育部"创新团队发展计划"(IRT1028)

关键词流动性风险无套利风险构成资本资产定价模型 liquidity risk no-arbitrage risk composition capital asset pricing model

分类号 G12 [文化科学] G0 [文化科学]

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