企业价值评估中流动性溢价探讨

正一、流动性与流动性溢价大到宏观经济的货币供需,小到企业和个人的资金运转,都涉及到流动性的影响和渗透。流动性溢价理论产生于证券交易市场,是流动性影响资产定价领域的一种重要表现形式。(一)流动性的涵义针对不同经济层面,流动性的涵义有所区别。宏观经济中的流动性是整个经济体系中货币的总投放量;资本市场中的流动性为参与交易的资金相对于交易资产的供给程度;个别资产的流动性则是指资产买卖的难易程度。有效市场假说认为资本市场中的价格已经包含了影响资产基本价值的所有信     

我国流动性调整下的CAPM研究

运用Amihud的非流动性比率衡量流动性,并证实了我国股票市场存在流动性溢价现象。流动性溢价现象对现有的资产定价模型造成了很大的冲击,因为传统的资产定价模型并没有考虑也无法解释流动性溢价的问题。文章借鉴并改进了Liu的方法求得流动性因子,从而构建了流动性调整下CAPM模型(LCAPM),并研究发现LCAPM能够充分解释流动性溢价现象。此外,用LCAPM模型解释我国股票市场的规模效应、账面市值比效应和短期收益反转等市场异象,发现该模型能够解释这些传统定价模型所无法解释的异象,从而对我国的资产定价提供一定的指导意义。     

股票市场流动性溢价的实证研究

资产流动性的高低是否影响资产的价格一直是资本市场理论研究的热点问题，也是投资者决策的重要理论依据之一。本文根据股票市场流动性溢价原理，选取换手率与Amivest流动比率作为股票流动性的衡量指标，采用LR两阶段截面回归方法与似无关回归（SUR）估计法，对上海股票市场的股票流动性与预期收益率的关系进行了实证研究。结果表明，上海股票市场存在显著的流动性溢价，换手率低或Amivest流动比率低，流动性较差的资产具有较高的预期收益。研究同时发现，上海股票市场具有很强的规模效应和价值效应。     

中国股票市场流动性与预期收益实证研究

本文以国外流动性溢价理论和研究方法为基础,结合我国股票市场的实际情况,运用现代计量技术对流动性和预期收益之间的关系进行了实证研究,检验我国股票市场是否存在流动性溢价现象。实证结果表明:我国股票市场存在着显著的流动性溢价现象,并支持小公司效应和价值效应。     

中国股票市场流动陛与预期收益实证研究

本文以国外流动性溢价理论和研究方法为基础,结合我国股票市场的实际情况,运用现代计量技术对流动性和预期收益之间的关系进行了实证研究,检验我国股票市场是否存在流动性溢价现象。实证结果表明：我国股票市场存在着显著的流动性溢价现象,并支持小公司效应和价值效应。     

企业价值评估中股权流动性溢价研究

在企业价值评估实践中,要考虑流动性的影响。本文采用2006年4月至2007年5月,沪市65个进行法人股权转让的上市公司,共84个转让事件作为样本,分析影响流动性溢价的因素。通过研究,笔者发现流动性溢价主要受到公司经营规模、股票价格风险、每股净资产和每股收益的影响,因此评估人员在企业价值评估实践中应该结合这些因素来确定流动性溢价。     

企业价值评估中股权流动性溢价研究

在企业价值评估实践中。要考虑流动性的影响。本文采用2006年4月至2007年5月,沪市65个进行法人股权转让的上市公司,共84个转让事件作为样本,分析影响流动性溢价的因素。通过研究,笔者发现流动性溢价主要受到公司经营规模、股票价格风险、每股净资产和每股收益的影响,因此评估人员在企业价值评估实践中应该结合这些因素来确定流动性溢价。     

资产定价理论及其发展

资产定价理论的发展过程在一定程度上体现了金融经济学的进步。本文回顾了理想经济状态下的资产定价理论,如CAPM、APT;结合"股权溢价之谜",探讨标准资产定价模型的拓展及其对股权溢价的解释能力,并初步分析资产定价与宏观经济波动之间的内在联系。     

中小板制造业上市公司资产流动性和资本结构的相关性分析

本文以2007～2009年中小板制造业上市公司为样本,研究了资产流动性和资本结构之间的相关关系,测试了资产的流动性对于资本结构的影响,结果发现,资产负债率与资产流动性正相关;而当管理层没有资产的处置权时,资产流动性水平对负债率没有显著的影响;当管理层拥有资产的处置权时,资产的高流动性有可能导致负债率的增加,即管理者拥有资产的处置权时会因资产的流动性而影响其对资本结构的选择。     

凯恩斯流动性偏好理论与中国货币政策的有效性--基于利率中介目标的视角

凯恩斯的流动性偏好理论从资产选择的角度来研究利率与货币需求之间的关系,从而开辟了货币需求研究的新视角,在凯恩斯的流动性偏好理论的基础上,发达国家确定了以利率为中介目标的货币政策。发达国家通过调节市场货币供应量来影响利率,并通过利率来调控投资从而达到对整个宏观经济进行调控的目的。改革开放后,我国也走上了市场经济道路,但凯恩斯的流动性偏好理在中国似乎依然“水土不服”,我国货币需求与利率之间并没有显示出凯恩斯的流动性偏好理论中所揭示的关系,我国依旧缺乏以利率为中介目标的货币政策的市场基础,我国利率政策的有效性也大不如发达市场经济国家,这是我国市场经济建设中亟待解决的问题。     

What drives the liquidity premium in the Chinese stock market?

This paper examines the dynamics of the liquidity premium in the Chinese stock market by adopting a multivariate decomposition approach to measure the individual contributions of various driving forces of the premium (such as firm size, idiosyncratic volatility, and market liquidity betas). By employing a wide range of liquidity measures, we show that liquidity premium is generally significant in the Chinese stock market. Furthermore, this premium is increasing in recent years starting from 2011; this observation is different from the United States market, in which the premium has declined over the years. Moreover, the multivariate decomposition approach highlights several asset pricing factors as the main driving forces of the premium. Based on the Amihud liquidity measure, the decomposition approach indicates that the size factor contributes 45–65% to the liquidity premium. However, the measure based on turnover suggests that idiosyncratic volatility accounts for at least 60% of the liquidity premium. In contrast, the global market liquidity beta does not significantly contribute to the premium. However, there is some evidence that the local market liquidity beta has become more significant in its impact on the premium during the period from 2011 to 2015. Our results imply that the findings on the liquidity premium in the Chinese stock market could be sensitive to the liquidity measure used and period of analysis.     

TIPS and the VIX: Spillovers from Financial Panic to Breakeven Inflation in an Automated,Nonlinear Modeling Framework

This paper examines the determinants of the breakeven inflation rate (BEI) on U.S. Treasury Inflation Protected Securities. After controlling for several measures of liquidity, inflation expectations and inflation uncertainty; financial fear itself (proxied with the Volatility Index or VIX) remains a primary influence on BEI. To delve into the mechanism underlying this association, the VIX is decomposed, using intraday data, into conditional variance and the variance premium capturing risk aversion. Aside from the 2008 crisis, most of the effect emanated from the variance premium. Following the crisis, indicators of bank insolvency risk gain prominence as well. Lastly, an automated nonlinear model finds convex effects of variance, and diminishing returns to insolvency risk and liquidity.     

The impact of liquidity on inflation-linked bonds: A hypothetical indexed bonds approach

Sovereigns mainly issue inflation-linked bonds (ILB) in order to save money. More than 15 years’ experience with this financial instrument in the United States has led to the conclusion that these bonds are characterized by low liquidity issues. Recently, various papers have started to analyze the impact of liquidity on ILB yields. This paper develops a new strategy for estimating the liquidity premium based on Campbell and Shiller's (1996) hypothetical ILB yields. We find significant effects of ILB-specific liquidity measures for the United States, the United Kingdom and Canada. Based on these findings, we derive the liquidity premium in ILB yields, liquidity-adjusted estimates for the break-even inflation rate and the inflation risk premium. In the United States, for instance, the average of the liquidity premium is 0.56%-points, and the average liquidity-adjusted break-even inflation rate and inflation risk premium amount to 2.67%-points and 0.22%-points, respectively.     

Non-Parametric Regression Models of Deviations from Othogonality in the Expectations Theory of the Term Structure

Regression tests of the expectations theory of the term structure typically reject the null hypothesis of orthogonality between implied forecast errors and the yield spreads. In the statistical literature on the term structure, these rejections are sometimes attributed to time-varying liquidity premia, and Engle et al . (1987) suggest that the ARCH-M model of time-variation in the liquidity premium may be sufficient to account for rejections of the expectations theory. We use non-parametric (kernel) regression to explore the regression test results on a number of data sets, and find some evidence of a persistent deviation from orthogonality for large absolute values of the spread. Incorporating ARCH-in-mean into models of the term premium indicates that this specification does explain significant time variation in liquidity premia, but the effect does not apepar to be sufficient to account for all of the deviations from orthogonality of forecast errors and spreads.     

Economic policy uncertainty and illiquidity return premium

In this study, we examine the relation between the price of liquidity, or illiquidity return premium, and the economic policy uncertainty (EPU). On average, an illiquid portfolio earns a 0.597% higher monthly return than a liquid portfolio. The results further show that the EPU index has a positive relationship with the illiquidity return premium. This indicates that investors require higher compensation for holding illiquid stocks when there is a higher economic uncertainty. We also show that EPU affects the illiquidity return premium through the market illiquidity channel. The rise of EPU could increase the risk of illiquid stocks and make investors more risk-averse, thereby requiring higher compensation for illiquidity. Finally, it is found that the relationship between EPU and the illiquidity return premium is stronger when market liquidity is impaired and during crises.     

UNCOVERING THE COMMON RISK‐FREE RATE IN THE EUROPEAN MONETARY UNION

We introduce longitudinal factor analysis (LFA) to extract the common risk‐free (CRF) rate from a sample of sovereign bonds of countries in a monetary union. Since LFA exploits the typically very large longitudinal dimension of bond data, it performs better than traditional factor analysis methods that rely on the much smaller cross‐sectional dimension. European sovereign bond yields for the period 2006–2011 are decomposed into a CRF rate, a default risk premium and a liquidity risk premium. Our empirical findings suggest that investors chase both credit quality and liquidity, and that they price double default risk on credit default swaps. Copyright © 2013 John Wiley & Sons, Ltd.     

流动性与交易所市场回购利率

在发达的金融市场上,回购利率的期限结构服从纯预期假设,无论从经济意义上还是从统计意义上来说风险溢酬都不显著。但是中国金融市场作为新兴市场表现出一些不同点。本文利用2000年1月到2006年2月上海证券交易所的回购数据,发现长期回购利率有明显的风险溢酬,预期理论并不成立。进一步分析得到流动性是影响风险溢酬的一个关键因素,流动性的预期和流动性的随机冲击都对观察到的风险溢酬有影响,并且流动性的预期是主要的影响因素。     

中国企业债券特征与风险补偿

利率风险、信用风险、流动性风险是债券市场上常见的风险类型,而债券的特征可以直接或间接地反映这些风险。本文通过分析中国企业债券市场上的债券发行量、已发行时间、债券期限、息票利率、收益率波动性、久期、凸性、到期收益率等债券特征对债券定价的影响,实证检验这些债券特征与债券风险及风险补偿的关系。本文的分析结论认为,这些债券特征显著地影响企业债券的定价,它们与利率风险、信用风险和流动性风险有显著关系,其中对企业债券信用风险的影响最大。流动性风险未被合理定价,低流动性债券未能获得显著的风险补偿。     

Determinants of commonality in liquidity: Evidence from an order-driven emerging market

Using an extensive, time-series, cross-sectional data-set of actively traded Indian stocks with up to 1.75 million firm-day observations, we discern the key determinants of commonality in liquidity among emerging markets. The paper shows evidence for both supply-side and demand-side factors contributing to liquidity commonality. However, the results are more supportive towards supply-side rationale for liquidity commonality among the firms where regulators and banks play an important source of commonality in liquidity, especially during market turmoil. Results are partially driven by the fact that the Indian stick exchange is an order-driven market. Economic activities like cheap exports and undervalued currency, rather than correlated trading by the institutional investors determine the demand for liquidity. These findings endorse the effect of high firm value, market return, liquidity, volatility, turnover, and alternate proxies of commonality in liquidity estimation.     

Demographics, dividend clienteles and the dividend premium

The catering theory of dividends proposed that corporate dividend policy is driven by prevailing investor demand for dividend payers, and that managers cater to investors by paying dividends when the dividend premium is high. While earlier research found that the dividend premium is not driven by traditional clienteles derived from market imperfections such as taxes, transaction costs, or institutional investment constraints, we find empirical evidence that demographic clienteles are an important source of the time-varying demand for dividend payers. In particular, we find that, as consistent with the behavioural life-cycle theory and the marginal opinion theory of stock price, the dividend premium is positively driven by demographic clientele variation represented by changes in the proportion of the older population. Our results are robust when controlled for the factors of investor sentiment, signalling, agency costs, tax clienteles, time trend, business cycle fluctuations and varying sample periods.