流动性溢价:一个理论分析  

Liquidity Premium:\ A theoretical Analysis

作　　者：程兵[1] 吴卫星[1] 

机构地区：[1]中国科学院数学与系统科学研究院应用数学所,北京100080

出　　处：《系统工程理论与实践》2004年第8期49-53,共5页Systems Engineering-Theory & Practice

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.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.

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 

分 类 号：F830.91[经济管理—金融学]