Asset pricing with liquidity risk

• 成果类型: Article
• 署名作者: Acharya, VV; Pedersen, LH
• 署名单位: New York University; University of London; London Business School; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2004.06.007
• 发表日期: 2005
• 页码: 375-410
• 关键词: LIQUIDITY RISK; liquidity-adjusted CAPM; Flight to liquidity; frictions; transaction costs

摘要

This paper solves explicitly a simple equilibrium model with liquidity risk. In our liquidity-adjusted capital asset pricing model, a security's required return depends on its expected liquidity as well as on the covariances of its own return and liquidity with the market return and liquidity. In addition, a persistent negative shock to a security's liquidity results in low contemporaneous returns and high predicted future returns. The model provides a unified framework for understanding the various channels through which liquidity risk may affect asset prices. Our empirical results shed light on the total and relative economic significance of these channels and provide evidence of flight to liquidity. (c) 2005 Elsevier B.V. All rights reserved.