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.