德州扑克大小

中国人民大学金融学副教授康文津学术交流会:对流动性定价的重新审视

时间: 2015-06-10 10:02 来源: 作者: 字号: 打印

主题:A Re-examination of the Pricing of Liquidity(对流动性定价的重新审视)

主讲人:康文津,中国人民大学汉青经济与金融高级研究院副教授

日期:2015年6月10日(周三)

时间:中午 12:30-13:30

地点:德州扑克大小 金融德州扑克大小 1号楼501教师休息室

语言:英文

摘要:

We reexamine the pricing of liquidity on stock market from a new perspective by controlling the influence from information uncertainty. Stocks with low liquidity exhibit high information uncertainty. Low liquidity suggests higher expected returns, but high information uncertainty is usually followed by lower subsequent returns. We use two-way dependent portfolio sorting method to separate these two effects from each other. After controlling for information uncertainty, we find that the liquidity premium remains statistically significant and economically important in sample periods both before and after 1990’s. The risk-adjusted liquidity premium in the NYSE/AMEX stock sample is 0.90% and 0.67% per month for the subsample periods of 1964~1988 and 1989~2013, respectively. Both of them are significant at 1% significance level. Furthermore, our liquidity premium is significantly positive in both January and non-January months. We find similar results in NASDAQ market.

主讲人简介:

Wenjin Kang is an associate professor of finance at Hanqing Advanced Institute of Economics and Finance, Renmin University of China. He teaches Advanced Topics of Asset Pricing and Market Microstructure for finance and economics Ph.D. students, and Asset Pricing for master students. His primary research interest is empirical asset pricing, with focus on liquidity, commodity market, and volatility. He earned a Ph.D. in management and Master in economics from University of California, Los Angeles. He joined School of Finance at Renmin University of China in 2013. From 2013 to 2014, he was an assistant professor at NUS Business School of National University of Singapore.