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本文基于含糊厌恶理论构建了新的流动性资产定价模型并进行了实证检验,揭示了流动性溢价的来源及其决定性因素。理论研究发现,资产非流动性导致其价格信息含糊,投资者含糊厌恶决策产生流动性溢价,其大小不仅由流动性决定,还与资产的收益率波动性及价格波动性等因素有关。对我国股票市场实证研究表明,近年来市场流动性提高,但流动性溢价水平上升并与股票收益率波动性和价格波动性正相关,从而验证了本文理论模型的有效性。
Based on the theory of ambiguous aversion, this paper constructs a new liquidity asset pricing model and conducts an empirical test, revealing the source of liquidity premium and its decisive factors. Theoretical studies show that the illiquidity of assets leads to the vagueness of price information and the liquidity premium of investors’ vague aversion decision. The size of liquidity is not only determined by the liquidity but also related to the volatility of return on assets and price volatility. Empirical research on China’s stock market shows that in recent years, the liquidity of the market has increased, but the liquidity premium has risen and is positively correlated with the volatility of stock returns and price volatility. This proves the validity of the theoretical model in this paper.