The world price of liquidity risk

• 成果类型: Article
• 署名作者: Lee, Kuan-Hui
• 署名单位: Korea University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.08.003
• 发表日期: 2011
• 页码: 136-161
• 关键词: Asset pricing; International finance; liquidity; liquidity risk; Liquidity-adjusted capital asset pricing model; Commonality in liquidity; market integration; market segmentation; Mildly segmented market; Zero return; emerging market; Developed market

摘要

This paper empirically tests the liquidity-adjusted capital asset pricing model of Acharya and Pedersen (2005) on a global level. Consistent with the model, I find evidence that liquidity risks are priced independently of market risk in international financial markets. That is, a security's required rate of return depends on the covariance of its own liquidity with aggregate local market liquidity, as well as the covariance of its own liquidity with local and global market returns. I also show that the US market is an important driving force of global liquidity risk. Furthermore, I find that the pricing of liquidity risk varies across countries according to geographic, economic, and political environments. The findings show that the systematic dimension of liquidity provides implications for international portfolio diversification. (C) 2010 Elsevier B.V. All rights reserved.