| 流动性风险与股票收益率 |
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| 引用本文： | 刘芳,张海雷.流动性风险与股票收益率[J].湖北财经高等专科学校学报,2010,22(3):35-37. |
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| 作者姓名： | 刘芳 张海雷 |
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| 作者单位： | 华侨大学经济与金融学院,福建,泉州,362101 |
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| 摘 要： | 本文从随机贴现因子的角度研究了流动性风险与股票收益率的关系,得出这样的结论,流动性风险可以作为市场风险以外的一种风险源,是投资者应当考虑的;中国股票市场存在所谓的流动性风险溢价,流动性冲击对资产预期收益具有正向的影响。
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| 关 键 词： | 流动性风险 非流动性 资产定价 |
Liquidity Risk and Stock Returns |
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| LIU Fang,ZHANG Hai-lei.Liquidity Risk and Stock Returns[J].Journal of Hubei College of Finance and Economics,2010,22(3):35-37. |
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| Authors: | LIU Fang ZHANG Hai-lei |
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| Institution: | (Economics and Finance College, Oversees Chinese University, Quanzhou, Fujian 362101 China) |
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| Abstract: | In this paper, we conclude that liquidity risk is a kind of outside market risk source which the investors should consider; Chinese stock market in the so-called liquidity risk premium, liquidity shocks have a positive expected return assets impact. |
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| Keywords: | liquidity risk non-liquid asset pricing |
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