市场流动性与资产定价

本文构建了一个在不同投资者具有异质信念下市场流动性影响资产价格的资产定价理论模型,并以2006-2021年沪深300指数进行实证检验,发现:市场流动性会显著影响投资者对风险资产价格的预期和信念类型的转换。当市场流动性不足时,基础投资者认为资产价格回归基础价值的速度减慢,而技术投资者会削弱对资产价格加速偏离基础价值的预期,投资者整体会削弱原有信念转换机制的强度。此外,文章实证还发现沪深300在长期是低估的、均值回复的,但在2008年全球金融危机、2020年新冠疫情等短期时段出现了剧烈的价格偏离和市场失灵。

Market Liquidity and Asset Pricing Research

This paper constructs an asset pricing model with market liquidity in a heterogeneous belief framework,and tests the model empirically using CSI300 data during 2006-2021 period.We find that market liquidity significantly influences investor’s expectation about asset price and belief switching.When the market is short of liquidity,fundamentalists expect that price converges to fundamental value more slowly,while chartists reduce their intensity of expecting the price deviation from fundamental value.What’s more,the whole group would lower the intensity of their original belief switching.Also,our empirical research shows that CSI300 is underestimated and mean-reverting in the long run,while it exhibits big fluctuation and market failure in some short terms like financial crisis in 2008 and pandemic in 2020.