基于M-LCAPM模型的股票流动性风险构成及其经济意义解释  

Stock Liquidity Risk Composition Based on M-LCAPM Model and Its Economic Significance Explanation

作　　者：李延军[1] 金相杉 王丽颖[1] 张蒙 Li Yanjun;Jin Xiangshan;Wang Liying;Zhang Meng(School of Economics and Management,Hebei University of Technology,Tianjin 300401)

机构地区：[1]河北工业大学经济管理学院,天津300401

出　　处：《金融发展研究》2018年第9期75-79,共5页Journal Of Financial Development Research

基　　金：河北省高等学校创新创业教育教学改革研究与实践项目(2017CXCY012)

摘　　要：以投资者的投资行为优化为出发点,构建调整的流动性资产定价模型(M-LCAPM模型),研究股票流动性风险构成及其对股票定价的影响。根据M-LCAPM模型,股票流动性对期望收益率的影响途径包括:流动性水平和流动性风险,其中流动性风险可以细分为个股流动性风险和系统流动性风险。个股流动性风险是指流动性成本的波动幅度和单个股票收益率对其流动性的敏感度;系统流动性风险则包括单个股票流动性与市场整体流动性的共变性、单个股票的收益率对市场整体流动性的敏感度以及单个股票的流动性对市场收益率的敏感度等三个方面。Based on the optimization of investor's investment behavior,the liquidity-adjusted capital asset pricing model(M-LCAPM model)is constructed to study the composition of liquidity risk and its effect on stock pricing.According to the M-LCAPM model,the impact of stock liquidity on expected yields includes:liquidity level and liquidity risk,where liquidity risk can be subdivided into individual stock liquidity risk and system liquidity risk.The liquidity risk of individual stock refers to the fluctuation range of the liquidity cost and the sensitivity of individual stock yield to its liquidity.System liquidity risk includes the common variability of single stock liquidity and market overall liquidity,the sensitivity of individual stock yield to the overall liquidity of the market and the sensitivity of the single stock liquidity to the market return.

关 键 词：投资行为优化 M-LCAPM模型 个股流动性风险 系统流动性风险 

分 类 号：F830.91[经济管理—金融学]