投资者的流动性偏好和股票定价——基于流动性偏好前提下的CAPM  

Liquidity Preference of Investors and Stock Pricing:CAPM Based on Liquidity Preference

作　　者：李昱[1] 张奎[1] 孙里[1] 

机构地区：[1]吉林大学经济学院,吉林长春130012

出　　处：《吉林大学社会科学学报》2007年第3期113-117,共5页Jilin University Journal Social Sciences Edition

摘　　要：投资者具有流动性偏好,其产生的原因在于基于时间的先后产生的现金偏好和由于不确定性产生的现金偏好两个方面。对于具有流动性偏好的风险规避的投资者而言,在β<1时股票价格会高于传统的资本资产定价模型对股票的估价。具有流动性偏好的风险规避的投资者会采取套利的策略,买进该股票,导致证券市场上对β<1的股票的需求增加,使得β<1的股票价格上升,从而在价格上高于传统的资本资产定价理论下的价格。Almost every investor has the liquidity preference. The reasons why liquidity preferences exist lies in two aspects, one is because of investors different investing time, and another reason is based on uncertainty. Under the condition of investors liquidity preference, there is always a appearance of sub- jective discount rate is less than market non-risk late. And this will lead to a result of the stock price would higher than the price which accounting according to basic Capital Asset Pricing Model （CAPM）. That is to say in the condition of β〈 1, investors with liquidity preference will take arbitrage action and buy the stock. This would lead to the great demand of the stock, and in the end makes the stock price increase.

关 键 词：流动性偏好 主观贴现率 CAPM 股票定价 

分 类 号：F830.91[经济管理—金融学] F224.0