基于流动性风险的资本资产定价模型

Abstract

Abstract: 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.

Key words: liquidity risk, no-arbitrage, risk composition, capital asset pricing model

CLC Number:

ZHOU Fang, ZHANG Wei, ZHOU Bing. Capital Asset Pricing Model Based on Liquidity Risk[J]. Chinese Journal of Management Science, 2013, 21(5): 1-7.

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Capital Asset Pricing Model Based on Liquidity Risk

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