流动性与资产定价
摘要
资产定价是金融经济学的核心内容,它主要研究在不确定的条件下,未来金融资产的价格和收益是如何变化的。传统资产定价理论是建立在一系列严格的假定之上的,尤其是假定证券交易是无摩擦的,但是在现实生活中,所有的证券交易都是有成本的,交易成本的主要部分就是证券的流动性,因此流动性与资产定价的关系是一项重要的研究内容。流动性是市场微观结构的一个显著特征,也是金融市场的一个基本功能,它为金融产品的流通变现提供了机会,也是投资者获得收益的必要前提。在一个缺乏流动性的市场中,金融产品无法按需及时转让流通,投资者可能要蒙受巨大的损失,而筹资者不能达到融资需求,在这样一个市场中,交易难以完成,市场失去了本身所有的功能和效率。在一个富有流动性的市场中,不仅可以完成交易,而且为金融市场的正常运转提供保证,促进了资源的有效配置,提高了市场的效率。在交易中投资者会偏好流动性好、交易成本低的证券,但是现实的证券市场又不是完全流动的,同一市场在经济发展的不同阶段流动性不同,相同市场中不同的产品流动性也不尽相同。因此在研究金融资产定价理论时,需要考虑市场的流动性问题。
中国是一个发展中国家,我国债券市场从成立到现在已经经历了20多年的时间,虽然起步早于股票市场,但发展却远远落后于股票市场。尤其是债券市场中的公司债券,发展又严重滞后于国债与金融债,相对于国债与金融债,我国公司债券市场的规模明显偏小,筹资能力比较差,市场流动性不足。2007年爆发了全球范围的次贷危机,危机波及到世界很多国家的金融市场,次贷危机的爆发的一个显著特征是公司债券利差的强烈扩大,利差的强烈扩大是债券流动性不足的表现。我国公司债券市场在次贷危机之后表现如何?流动性是否显著下降?在资产定价当中是否体现?这些都是要关注的问题,因此在我国研究公司债券的流动性与资产定价的关系,更加必要。通过研究公司债券流动性与资产定价的关系可以更好的完善我国的微观市场结构,降低企业的融资成本,规范市场,降低流动性风险,活跃我国债券市场,提高市场效率。
本文以中国公司债券的流动性问题为研究对象,重点研究了公司债券流动性对资产定价的影响。首先对流动性的有关理论进行了阐述和解释,然后又对资产定价模型和流动性资产定价模型的发展进行了回顾。在流动性和资产定价理论的基础上,本文重点分析了影响我国公司债券流动性的因素和流动性对资产定价的影响,最终针对我国公司债券发展存在的问题提出了政策建议。根据本文的具体思路,内容共分为七章：
第1章,导论。本章主要介绍了论文选题背景和选题意义,并给出了本文研究的主要对象和主要内容,以及使用的研究方法,最后对论文的创新点和不足进行了总结。
第2章,文献综述。本章从国外和国内对已有的文献进行了梳理,国外按照流动性水平与资产定价、流动性风险与资产定价两个角度进行分类整理,国内按照流动性测量、流动性影响因素和流动性溢价三个角度进行汇总,最后对现有的文献进行了评述和研究趋势的展望。
第3章,公司债券流动性的理论解释。本章主要对流动性的有关理论进行了阐述和分析,第一节对公司债券流动性的概念进行了界定,首先界定研究对象是交易所上市的公司债券,又界定了流动性的概念；第二节分析了公司债券流动性的决定因素,主要从市场微观结构、市场交易产品和市场参与者三个方面进行分析;第三节对公司债券流动性的度量方法进行了总结,从流动性的四个维度,按照价格法、交易量法、价量结合法和时间法对流动性进行测量,最后对各种方法进行了比较;第四节给出了公司债券流动性风险的定义和测度方法。
第4章,资产定价相关理论。本章主要从经典资产定价理论和流动性资产定价模型两个方面对资产定价的相关理论进行总结。经典资产定价理论分析了均值-方差模型、资本资产定价模型、套利定价理论、Fama-French三因素模型和期权定价模型；流动性资产定价模型主要分析了Amihud-Mendelson流动性溢价模型、Jacoby-Fowler-Gottesman流动性调整模型和Acharya-Pedersen流动性风险模型。
第5章,流动性影响因素的实证分析。本章以我国上海证券交易所和深圳证券交易所上市的公司债券作为研究样本,重点研究了哪些因素对流动性产生影响,主要集中在对债券本身属性特征因素的研究,使用换手率、交易天数和交易量作为流动性的代表量,债券的发行规模、息票率、剩余到期时间、行业因素等作为影响流动性的因素,实证研究结果发现,对流动性有显著性影响是发行量、剩余到期时间和息票率因素,其中发行量、剩余到期时间与流动性之间是负相关关系,息票率对流动性有正的影响效应。根据研究结论认为债券的信用评级对流动性没有影响。在行业因素当中,金融业的显著性最强,而材料行业没有影响,工业行业的影响非常小,公用事业有一定的影响。另外债券的复杂性因素,例如债券的可回售性对流动性没有影响。
第6章,流动性与资产定价的实证分析。本章主要研究了流动性对公司债券价差的影响,即中国是否存在流动性溢价,模型主要包括流动性变量、债券特征变量、交易行为变量和信用风险变量,采用Amihud测度、买卖价差、Roll测度、换手率和零交易日作为流动性的代表量,债券特征变量包括发行量、息票率、期限、行业等,交易行为变量包括交易量和交易间隔时间,信用风险变量用信用等级所代替。通过实证研究发现,我国公司债券流动性对资产定价存在一定的影响,尤其是Amihud测度和买卖价差的显著性较强；另外债券的发行量、息票率等因素也对公司债券价差有一定的影响；但是信用风险因素始终不显著。本章又将样本按照信用等级、行业和交易量分为两个子样本,分别进行分析比较,发现信用等级因素不显著,与信用等级越高,流动性越高的研究假设不一致；金融行业债券比非金融行业债券的流动性要高,对公司债券价差的影响也更显著；小规模交易债券比大规模交易债券的流动性要高,对公司债券价差的影响更显著。
第7章,结论与政策建议。本章给出了本文的最终结论,并根据结论对我国公司债券市场的发展给出了政策建议,对进一步的研究做出了展望。
本文的创新点主要体现在：(1)研究对象的创新。国内对债券市场流动性的研究主要是国债市场,有少数学者对银行间债券市场的企业债券进行了研究,但是由于企业债券在发行主体和市场功能方面有很大的局限性,它并非真正意义上的公司债券,所以本文只研究交易所上市的公司债券,从研究对象的角度来说,这是一点创新。(2)研究方法的创新。本文在研究方法上的创新主要体现在对流动性的度量上,在前人研究的基础上,采取了多种测量流动性的方法,包括Amihud测度、买卖价差、Roll测度、换手率、零交易日等,并对各个方法的结果和显著性进行了比较分析,找到适合我国研究使用的方法。(3)研究角度的创新。本文按照信用等级、行业和交易量对样本进行分组,并从这三个角度比较分析了实证结果,改变单角度分析为多角度分析,使研究视野更加开阔,结论更具有说服力。
本文的不足之处在于：(1)流动性的影响因素既包括宏观因素,也包括微观因素,而本文只分析了债券特征因素,这在研究上存在一定的局限性。(2)由于我国交易所公司债券发展时间较晚,发行的债券数量也比较少,而且债券的每笔交易数据难以获得,因此造成样本量不足,分析不够深入。(3)流动性风险也是影响资产定价的一个重要因素,在流动性的基础上,应该对流动性风险的作用进一步分析,而本文并没有对这部分内容展开实证分析。
Asset pricing is the core element of financial economics, which mainly studies how the future price and return of financial asset changes under the uncertain conditions. Traditional asset pricing theory builds on a series of strict hypothesis, especially assuming that security trading is frictionless. But in reality, all of the security trading has the cost, the main part of transaction cost is securities liquidity, therefore the relationship between liquidity and asset pricing is an important research. Liquidity is a significant feature of market microstructure, also is a basic function of financial market. It offers opportunities for the circulation realizable of financial products, and also acts as an essential premise of the investor achieve earnings. In a market lack of liquidity, financial products can't be transferred and circulated as quickly as expected, investors may suffer huge losses, and the fund raiser can't achieve financing demand. In such a market, transactions have difficult to complete, the market lose all the function and efficiency. In a market rich of liquidity, not only can complete transactions successfully, but also provide insurances for the normal function of financial market, promote the efficiency of resource allocation, improve the efficiency of the market. In a transaction, investors will prefer the securities with good liquidity and low cost, but in fact security market is not flow entirely, and in the different stages of economic development the same market may have different liquidity, also in the same market different products may have different liquidity, too. So when we study the financial asset pricing theory, liquidity problems must be considered.
China is a developing country, and our bond market has gone through more than20years since established. Although it started earlier than the stock market, but developed far behind. Especially in the bond market, the corporate bond's development is seriously lagging behind the treasury bonds and financial bond, Compared with treasury bonds and financial bond, our corporate bond market size is much smaller, the ability of financing is weaker, and the market liquidity is insufficient. In2007, the subprime crisis had outbreak on a global scale and spread to many countries'financial market. One distinct feature of the subprime crisis is dramatic widening of corporate bond spreads, which is performance of the bond liquidity deficiency. How does the corporate bond market in China perform after the subprime crisis? Will the liquidity decreased significantly? Whether it is reflected in asset pricing? These are the issues need to focus on, so in our country it is more necessary to study the relationship between corporate bond liquidity and asset pricing. Through this study can improve market microstructure in our country, reduce financing cost of enterprises, regulate market behavior, and reduce the liquidity risk, revitalize our bond market, raise market efficiency.
This article takes the liquidity issues of Chinese corporate bond as the research object, mainly research the influence of corporate bond liquidity on asset pricing. First, we introduce and explain liquidity theory, and then review the development of asset pricing model and liquidity asset pricing model. On the basis of the liquidity and asset pricing theory, this paper focuses on factors which affect Chinese corporate bond liquidity and the influence of corporate bond liquidity on asset pricing, finally according to the problems existing in the development of corporate bond, and we put forward several policies and suggestions. Based on the specific train of thought, this paper consists of seven chapters:
Chapter one is the introduction. This chapter mainly introduces the background and significance of selecting the topic, propose the key issues and content arrangement of our study, also put forward the research method, finally make a summary of the innovation points and deficiencies.
Chapter two is the literature review. This chapter reviewed the existing literature from foreign and domestic perspective, and we sort out foreign literature form liquidity and asset pricing, liquidity risk and pricing. We summarized domestic literature from measurement for liquidity, the factors influencing liquidity and liquidity premium. Finally, we comment the available literatures and look ahead the research tendency.
Chapter three is the theory of corporate bond's liquidity. This chapter mainly analyze the related theories of liquidity, in the first section, concept of corporate bond liquidity is defined, exchange listing corporate bonds are set as research object, and defines the concepts of liquidity; the second section analyzes the determinants of corporate bond liquidity from the market microstructure, the market trading product and the market participants; the third section summarizes the measurement methods of corporate bond liquidity, from the four dimensions of liquidity, measure liquidity according to price method, volume method, the method combined with price and volume, and time method, at last compares these methods; the fourth section presents the definition and measurement method of corporate bond liquidity risk.
Chapter four is the asset pricing theory. This chapter summarizes asset pricing theory from the classical asset pricing theory and liquidity asset pricing model. Classical asset pricing theory includes mean-variance model, capital asset pricing model, arbitrage pricing theory, Fama-French three factor model and option pricing model; liquidity asset pricing model includes Amihud-Mendelson liquidity premium model, Jacoby-Fowler-Gottesman model and Acharya-Pedersen model.
Chapter five is the empirical analysis of the determinants influencing liquidity. This chapter takes the listed corporate bonds in Shanghai Stock Exchange and Shenzhen Stock Exchange as the research sample, and focuses on the factors which have an impact on liquidity, mainly concentrates on the bond characteristic factors, define the turnover, trading days and trading volume as liquidity proxy, the issue amount, coupon rate, maturity and industry etc. as determinants of liquidity. The empirical research find that, the issue amount, maturity and coupon rate have significant impact on liquidity, issue amount, maturity and liquidity are negatively correlated, coupon rate has positive effect on liquidity. Credit rate have no effect on liquidity. In the industry factors, the financial industry has the highest significance, and material industry is insignificant, industry has a little effect, and utility has some influences. In addition, the complexity of the bond, such as puttabe is insignificant.
Chapter six is the empirical analysis of liquidity and asset pricing. This chapter mainly studies the effect of the liquidity on corporate bond yield spread, and that is whether China exist liquidity premium. The model includes liquidity variables, bond characteristic variables, trading behavior variables and credit risk variables, using Amihud measure, bid-ask spread, Roll measure, trunover and zero trading days as liquidity variable, bond characteristic variables including issue amount, coupon rate, maturity, industries and so on, trade behavior variables including trade volume and trade interval, credit risk variables are represented by credit rating. Through empirical research, we find corporate bond liquidity has certain influence on asset pricing in China, especially Amihud measure and bid-ask spread are highly significant; in addition bond issuance, coupon rate and other factors also have some effect; but the credit risk factors is always insignificant. We also divided the sample into two sub samples according to credit rating, industry and trading volume. Through comparing the two sub samples we found that credit rating factors are not significant, this is conflict with the hypothesis that the higher the credit rating is, the more liquidity it will hold; the liquidity of financial bonds is higher than non financial bonds, and is more significant; the liquidity of small trading volume bonds is higher than large volume bonds, and more significant.
Chapter seven is the conclusions and policy suggestions. This chapter presents the final conclusion, based on the conclusions we propose policy suggestions to the development of corporate bond market, and make the further research prospect.
The innovation of this paper mainly exists in:(1) the innovation on the research object. Domestic research of bond liquidity is mainly about treasury bond market, a few scholars have studied enterprise bond in the inter-bank bond market, but because the enterprise bonds have significant limitations in issue body and market function, it is not corporate bond in the real sense, so this article only study corporate bonds which are listed in the exchange. From the point of research objects, it is an innovation.(2) The innovation on the research method. It is mainly reflected in the measure of liquidity, based on the previous study, we adopt a variety of method to measure liquidity, including Amihud measure, bid-ask spread, Roll measure, turnover, zero trading days and so on. In order to find out the most suitable one for our country, each method's results and significant were compared.(3) The innovation on the research perspective. In this paper, the samples were grouped according to credit rating, industry and trading volume, and from these three angles we compare the empirical results, changing the single angle analysis into multi angles analysis, expand the research view, and make the conclusions more persuasive.
The deficiencies of this paper lie in:(1) the determinants of liquidity include both macro and micro factors, however this paper only analyzes bond characteristic factors, which exists the limitation.(2) Because of short history of exchange corporate bonds, the issue amount of bond is relatively less, and the bond transaction data are difficult to obtain, so the sample size is inadequate, and the analysis is not deep enough.(3) The liquidity risk is an important factor for asset pricing, on the basis of liquidity, the effect of the liquidity risk should be further analyzed, but this paper didn't make analysis on this part.
中国是一个发展中国家,我国债券市场从成立到现在已经经历了20多年的时间,虽然起步早于股票市场,但发展却远远落后于股票市场。尤其是债券市场中的公司债券,发展又严重滞后于国债与金融债,相对于国债与金融债,我国公司债券市场的规模明显偏小,筹资能力比较差,市场流动性不足。2007年爆发了全球范围的次贷危机,危机波及到世界很多国家的金融市场,次贷危机的爆发的一个显著特征是公司债券利差的强烈扩大,利差的强烈扩大是债券流动性不足的表现。我国公司债券市场在次贷危机之后表现如何?流动性是否显著下降?在资产定价当中是否体现?这些都是要关注的问题,因此在我国研究公司债券的流动性与资产定价的关系,更加必要。通过研究公司债券流动性与资产定价的关系可以更好的完善我国的微观市场结构,降低企业的融资成本,规范市场,降低流动性风险,活跃我国债券市场,提高市场效率。
本文以中国公司债券的流动性问题为研究对象,重点研究了公司债券流动性对资产定价的影响。首先对流动性的有关理论进行了阐述和解释,然后又对资产定价模型和流动性资产定价模型的发展进行了回顾。在流动性和资产定价理论的基础上,本文重点分析了影响我国公司债券流动性的因素和流动性对资产定价的影响,最终针对我国公司债券发展存在的问题提出了政策建议。根据本文的具体思路,内容共分为七章：
第1章,导论。本章主要介绍了论文选题背景和选题意义,并给出了本文研究的主要对象和主要内容,以及使用的研究方法,最后对论文的创新点和不足进行了总结。
第2章,文献综述。本章从国外和国内对已有的文献进行了梳理,国外按照流动性水平与资产定价、流动性风险与资产定价两个角度进行分类整理,国内按照流动性测量、流动性影响因素和流动性溢价三个角度进行汇总,最后对现有的文献进行了评述和研究趋势的展望。
第3章,公司债券流动性的理论解释。本章主要对流动性的有关理论进行了阐述和分析,第一节对公司债券流动性的概念进行了界定,首先界定研究对象是交易所上市的公司债券,又界定了流动性的概念；第二节分析了公司债券流动性的决定因素,主要从市场微观结构、市场交易产品和市场参与者三个方面进行分析;第三节对公司债券流动性的度量方法进行了总结,从流动性的四个维度,按照价格法、交易量法、价量结合法和时间法对流动性进行测量,最后对各种方法进行了比较;第四节给出了公司债券流动性风险的定义和测度方法。
第4章,资产定价相关理论。本章主要从经典资产定价理论和流动性资产定价模型两个方面对资产定价的相关理论进行总结。经典资产定价理论分析了均值-方差模型、资本资产定价模型、套利定价理论、Fama-French三因素模型和期权定价模型；流动性资产定价模型主要分析了Amihud-Mendelson流动性溢价模型、Jacoby-Fowler-Gottesman流动性调整模型和Acharya-Pedersen流动性风险模型。
第5章,流动性影响因素的实证分析。本章以我国上海证券交易所和深圳证券交易所上市的公司债券作为研究样本,重点研究了哪些因素对流动性产生影响,主要集中在对债券本身属性特征因素的研究,使用换手率、交易天数和交易量作为流动性的代表量,债券的发行规模、息票率、剩余到期时间、行业因素等作为影响流动性的因素,实证研究结果发现,对流动性有显著性影响是发行量、剩余到期时间和息票率因素,其中发行量、剩余到期时间与流动性之间是负相关关系,息票率对流动性有正的影响效应。根据研究结论认为债券的信用评级对流动性没有影响。在行业因素当中,金融业的显著性最强,而材料行业没有影响,工业行业的影响非常小,公用事业有一定的影响。另外债券的复杂性因素,例如债券的可回售性对流动性没有影响。
第6章,流动性与资产定价的实证分析。本章主要研究了流动性对公司债券价差的影响,即中国是否存在流动性溢价,模型主要包括流动性变量、债券特征变量、交易行为变量和信用风险变量,采用Amihud测度、买卖价差、Roll测度、换手率和零交易日作为流动性的代表量,债券特征变量包括发行量、息票率、期限、行业等,交易行为变量包括交易量和交易间隔时间,信用风险变量用信用等级所代替。通过实证研究发现,我国公司债券流动性对资产定价存在一定的影响,尤其是Amihud测度和买卖价差的显著性较强；另外债券的发行量、息票率等因素也对公司债券价差有一定的影响；但是信用风险因素始终不显著。本章又将样本按照信用等级、行业和交易量分为两个子样本,分别进行分析比较,发现信用等级因素不显著,与信用等级越高,流动性越高的研究假设不一致；金融行业债券比非金融行业债券的流动性要高,对公司债券价差的影响也更显著；小规模交易债券比大规模交易债券的流动性要高,对公司债券价差的影响更显著。
第7章,结论与政策建议。本章给出了本文的最终结论,并根据结论对我国公司债券市场的发展给出了政策建议,对进一步的研究做出了展望。
本文的创新点主要体现在：(1)研究对象的创新。国内对债券市场流动性的研究主要是国债市场,有少数学者对银行间债券市场的企业债券进行了研究,但是由于企业债券在发行主体和市场功能方面有很大的局限性,它并非真正意义上的公司债券,所以本文只研究交易所上市的公司债券,从研究对象的角度来说,这是一点创新。(2)研究方法的创新。本文在研究方法上的创新主要体现在对流动性的度量上,在前人研究的基础上,采取了多种测量流动性的方法,包括Amihud测度、买卖价差、Roll测度、换手率、零交易日等,并对各个方法的结果和显著性进行了比较分析,找到适合我国研究使用的方法。(3)研究角度的创新。本文按照信用等级、行业和交易量对样本进行分组,并从这三个角度比较分析了实证结果,改变单角度分析为多角度分析,使研究视野更加开阔,结论更具有说服力。
本文的不足之处在于：(1)流动性的影响因素既包括宏观因素,也包括微观因素,而本文只分析了债券特征因素,这在研究上存在一定的局限性。(2)由于我国交易所公司债券发展时间较晚,发行的债券数量也比较少,而且债券的每笔交易数据难以获得,因此造成样本量不足,分析不够深入。(3)流动性风险也是影响资产定价的一个重要因素,在流动性的基础上,应该对流动性风险的作用进一步分析,而本文并没有对这部分内容展开实证分析。
Asset pricing is the core element of financial economics, which mainly studies how the future price and return of financial asset changes under the uncertain conditions. Traditional asset pricing theory builds on a series of strict hypothesis, especially assuming that security trading is frictionless. But in reality, all of the security trading has the cost, the main part of transaction cost is securities liquidity, therefore the relationship between liquidity and asset pricing is an important research. Liquidity is a significant feature of market microstructure, also is a basic function of financial market. It offers opportunities for the circulation realizable of financial products, and also acts as an essential premise of the investor achieve earnings. In a market lack of liquidity, financial products can't be transferred and circulated as quickly as expected, investors may suffer huge losses, and the fund raiser can't achieve financing demand. In such a market, transactions have difficult to complete, the market lose all the function and efficiency. In a market rich of liquidity, not only can complete transactions successfully, but also provide insurances for the normal function of financial market, promote the efficiency of resource allocation, improve the efficiency of the market. In a transaction, investors will prefer the securities with good liquidity and low cost, but in fact security market is not flow entirely, and in the different stages of economic development the same market may have different liquidity, also in the same market different products may have different liquidity, too. So when we study the financial asset pricing theory, liquidity problems must be considered.
China is a developing country, and our bond market has gone through more than20years since established. Although it started earlier than the stock market, but developed far behind. Especially in the bond market, the corporate bond's development is seriously lagging behind the treasury bonds and financial bond, Compared with treasury bonds and financial bond, our corporate bond market size is much smaller, the ability of financing is weaker, and the market liquidity is insufficient. In2007, the subprime crisis had outbreak on a global scale and spread to many countries'financial market. One distinct feature of the subprime crisis is dramatic widening of corporate bond spreads, which is performance of the bond liquidity deficiency. How does the corporate bond market in China perform after the subprime crisis? Will the liquidity decreased significantly? Whether it is reflected in asset pricing? These are the issues need to focus on, so in our country it is more necessary to study the relationship between corporate bond liquidity and asset pricing. Through this study can improve market microstructure in our country, reduce financing cost of enterprises, regulate market behavior, and reduce the liquidity risk, revitalize our bond market, raise market efficiency.
This article takes the liquidity issues of Chinese corporate bond as the research object, mainly research the influence of corporate bond liquidity on asset pricing. First, we introduce and explain liquidity theory, and then review the development of asset pricing model and liquidity asset pricing model. On the basis of the liquidity and asset pricing theory, this paper focuses on factors which affect Chinese corporate bond liquidity and the influence of corporate bond liquidity on asset pricing, finally according to the problems existing in the development of corporate bond, and we put forward several policies and suggestions. Based on the specific train of thought, this paper consists of seven chapters:
Chapter one is the introduction. This chapter mainly introduces the background and significance of selecting the topic, propose the key issues and content arrangement of our study, also put forward the research method, finally make a summary of the innovation points and deficiencies.
Chapter two is the literature review. This chapter reviewed the existing literature from foreign and domestic perspective, and we sort out foreign literature form liquidity and asset pricing, liquidity risk and pricing. We summarized domestic literature from measurement for liquidity, the factors influencing liquidity and liquidity premium. Finally, we comment the available literatures and look ahead the research tendency.
Chapter three is the theory of corporate bond's liquidity. This chapter mainly analyze the related theories of liquidity, in the first section, concept of corporate bond liquidity is defined, exchange listing corporate bonds are set as research object, and defines the concepts of liquidity; the second section analyzes the determinants of corporate bond liquidity from the market microstructure, the market trading product and the market participants; the third section summarizes the measurement methods of corporate bond liquidity, from the four dimensions of liquidity, measure liquidity according to price method, volume method, the method combined with price and volume, and time method, at last compares these methods; the fourth section presents the definition and measurement method of corporate bond liquidity risk.
Chapter four is the asset pricing theory. This chapter summarizes asset pricing theory from the classical asset pricing theory and liquidity asset pricing model. Classical asset pricing theory includes mean-variance model, capital asset pricing model, arbitrage pricing theory, Fama-French three factor model and option pricing model; liquidity asset pricing model includes Amihud-Mendelson liquidity premium model, Jacoby-Fowler-Gottesman model and Acharya-Pedersen model.
Chapter five is the empirical analysis of the determinants influencing liquidity. This chapter takes the listed corporate bonds in Shanghai Stock Exchange and Shenzhen Stock Exchange as the research sample, and focuses on the factors which have an impact on liquidity, mainly concentrates on the bond characteristic factors, define the turnover, trading days and trading volume as liquidity proxy, the issue amount, coupon rate, maturity and industry etc. as determinants of liquidity. The empirical research find that, the issue amount, maturity and coupon rate have significant impact on liquidity, issue amount, maturity and liquidity are negatively correlated, coupon rate has positive effect on liquidity. Credit rate have no effect on liquidity. In the industry factors, the financial industry has the highest significance, and material industry is insignificant, industry has a little effect, and utility has some influences. In addition, the complexity of the bond, such as puttabe is insignificant.
Chapter six is the empirical analysis of liquidity and asset pricing. This chapter mainly studies the effect of the liquidity on corporate bond yield spread, and that is whether China exist liquidity premium. The model includes liquidity variables, bond characteristic variables, trading behavior variables and credit risk variables, using Amihud measure, bid-ask spread, Roll measure, trunover and zero trading days as liquidity variable, bond characteristic variables including issue amount, coupon rate, maturity, industries and so on, trade behavior variables including trade volume and trade interval, credit risk variables are represented by credit rating. Through empirical research, we find corporate bond liquidity has certain influence on asset pricing in China, especially Amihud measure and bid-ask spread are highly significant; in addition bond issuance, coupon rate and other factors also have some effect; but the credit risk factors is always insignificant. We also divided the sample into two sub samples according to credit rating, industry and trading volume. Through comparing the two sub samples we found that credit rating factors are not significant, this is conflict with the hypothesis that the higher the credit rating is, the more liquidity it will hold; the liquidity of financial bonds is higher than non financial bonds, and is more significant; the liquidity of small trading volume bonds is higher than large volume bonds, and more significant.
Chapter seven is the conclusions and policy suggestions. This chapter presents the final conclusion, based on the conclusions we propose policy suggestions to the development of corporate bond market, and make the further research prospect.
The innovation of this paper mainly exists in:(1) the innovation on the research object. Domestic research of bond liquidity is mainly about treasury bond market, a few scholars have studied enterprise bond in the inter-bank bond market, but because the enterprise bonds have significant limitations in issue body and market function, it is not corporate bond in the real sense, so this article only study corporate bonds which are listed in the exchange. From the point of research objects, it is an innovation.(2) The innovation on the research method. It is mainly reflected in the measure of liquidity, based on the previous study, we adopt a variety of method to measure liquidity, including Amihud measure, bid-ask spread, Roll measure, turnover, zero trading days and so on. In order to find out the most suitable one for our country, each method's results and significant were compared.(3) The innovation on the research perspective. In this paper, the samples were grouped according to credit rating, industry and trading volume, and from these three angles we compare the empirical results, changing the single angle analysis into multi angles analysis, expand the research view, and make the conclusions more persuasive.
The deficiencies of this paper lie in:(1) the determinants of liquidity include both macro and micro factors, however this paper only analyzes bond characteristic factors, which exists the limitation.(2) Because of short history of exchange corporate bonds, the issue amount of bond is relatively less, and the bond transaction data are difficult to obtain, so the sample size is inadequate, and the analysis is not deep enough.(3) The liquidity risk is an important factor for asset pricing, on the basis of liquidity, the effect of the liquidity risk should be further analyzed, but this paper didn't make analysis on this part.
引文
①Amihud,Y., MendeIson,H.,1986,"Asset pricing and the bid-ask spread", Journal of Financial Economics, Vol.17,PP223-249.
①Bagehot W.,(1971),The only game in town, Financial Analysts Journal,27,12-14.
②Grossman S., Miller J., (1988), Liquidity and market structure, The Journal of Finance,1988,43, 617-637.
①莫琳.奥哈拉著,杨之曙译.市场的微观结构理论[M].第1版.中国人民大学出版社,2007：169-190.
①Paul A. Samuelson. An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money. Journal of Political Economy.University of Chicago Press,1958, vol.66, pages 467.
①推导过程参见Acharya, V., L. Pedersen,2005, " Asset Pricing with Liquidity Risk", Journal of Financial Economics,Vol.77, Feb.,PP375-410.
①参见Friend, I., Blume, M.,1975," The demand for risky assets", American Economic Review,65, PP900-922.
[1]R.A.贾罗、V.马斯科西莫维、w.T.津巴编,吴文锋、仲黎明、冯芸译.金融经济学手册[M].第1版.上海人民出版社,2007：79-118.
[2]曹鸿波.银行间债券市场流动性指标分析[N].金融时报,1999-11-16.
[3]程文卫.我国交易所上市企业主体债券利差的影响因素研究[J].生产力研究,2009,(8)：56-71.
[4]董乐.银行间债券市场流动性溢价问题研究[J].运筹与管理,2007,(8)：79-88.
[5]范乔希.银行间债券市场流动性的实证分析[J].山西农业大学学报(社会科学版),2004(1)：52-55.
[6]方丹.我国债券市场流动性实证分析[J].辽宁石油化工大学学报,2009,(6)：85-92.
[7]弗兰克.法博齐著,路蒙佳译.债券市场分析与策略[M].第7版.中国人民大学出版社,2011：40-55.
[8]弗兰克.法博齐编著,任若恩、李焰译.固定收益证券手册[M].第6版.中国人民大学出版社,2005：220-244.
[9]郭泓、杨之曙.国债市场新券和旧券流动性实证研究[J].证券市场导报,2006(2)：62-68.
[10]郭泓、武康平.上交所国债市场流动性溢价分析[J].金融论坛,2006(6)：23-29.
[11]黄丹.中国银行间债券市场发展为场外市场的问题研究[D].西南财经大学硕士学位论文,2007.
[12]黄峰,杨朝军.流动性风险与资产定价：来自我国股市的经验证据[J].管理世界,2007(5)：30-48.
[13黄妍、吴凯.银行间债券市场流动性问题的原因分析及其对策[J].经济前沿,2003,(7)：39-41.
[14]胡永青.中国企业债券市场流动性分析[J].经济纵横,2002,(9)：14-16.
[15]金雪军、徐利君、徐冯璐.交易成本与国债市场流动性：基于上海债市的实证研究[J].软科学,2006,20(1)：53-56.
[16]孔东民.流动性风险与资产定价：来自中国股市的证据[J].南方经济,2006,(3)：91-107.
[17]李仁健.中国国债市场流动性现状及因素分析[D].上海交通大学硕士学位论文, 2007.
[18]李新.中国国债市场流动性分析[J].金融研究,2001,(3)：116-121.
[19]李焰、曹晋文.对我国国债市场流动性的实证研究[J].财贸经济,2005,(9)：55-61.
[20]李一红、吴世农.中国股市流动性溢价的实证研究[J].管理评论,2003,(15)：34-42.
[21]廖敏辉.我国企业债券市场的流动性研究[D].湖南大学硕士学位论文,2007.
[22]林海、郑振龙.中国违约风险溢酬研究[J].证券市场导报,2003,(6)：41-44.
[23]林华.中国上海证券交易所债券流动性分析[D].厦门大学硕士学位论文,2008.
[24]刘逖.证券市场微观结构理论与实践[M].上海：复旦大学出版社,2002.
[25]陆静、唐小我.股票流动性与期望收益的关系研究[J].管理工程学报,2004,18(2)：109-111.
[26]卢遵华、陈一丁、张莲.我国银行间债券市场流动性分析[J].证券市场导报,2004,(2)：47-51.
[27]罗登跃、王春峰、房振明等.基于时间序列的上海股市系统风险、流动性风险溢价实证研究[J].系统工程,2005,(7)：49-54.
[28]罗登跃.流动性与资产定价：基于中国证券市场的研究[D].天津大学博士学位论文,2007.
[29]马岩祥.公司债券价格影响因素的实证分析[D].新疆财经大学硕士学位论文,2010.
[30]莫琳.奥哈拉著,杨之曙译.市场的微观结构理论[M].第1版.中国人民大学出版社,2007：169-190.
[31]闵晓平.公司债券流动性衡量和决定研究述评[J].证券市场导报,2008,(10)：65-71.
[32]闵晓平.公司债券流动性溢价研究进展[J].经济学动态,2009(6)：103-108.
[33]潘晓佳.中国企业债券市场流动性研究[D].厦门大学硕士学位论文,2007.
[34]瞿强.国债市场流动性研究——一个比较分析框架[J].金融研究,2001(6)：75-83.
[35]尚玉皇.中国公司债券市场流动性研究[D].暨南大学硕士学位论文,2010.
[36]邵玲.我国银行间债券市场与交易所债券市场比较研究[D].厦门大学硕士学位论文,2006.
[37]苏冬蔚、麦元勋.流动性与资产定价：基于我国股市资产换手率与预期收益的实证研究[J].经济研究,2004(2)：95-105.
[38]施婷、范龙振.上海证券交易所回购利率期限结构的风险溢酬[J].系统工程理论方法应用,2006,(4)：359-372.
[39]宋献中、王展翔.股票流动性与资产定价：基于时间序列回归的实证分析.财经理论与实践[J].2004,25(6)：43-49.
[40]孙小丽.公司债券市场的流动性指标比较[D].厦门大学硕士学位论文,2008.
[41]谭地军、田益祥、黄文光.中国企业债券特征与风险补偿[J].数量经济技术经济研究,2008,(2)：74-87.
[42]王春峰、韩冬、蒋祥林.流动性与股票回报：基于上海股市的实证研究[J].经济管理,2002,(24)：58-67.
[43]王春峰著.金融市场风险管理[M].第1版.天津大学出版社,2001.
[44]王晓翌.公司债券流动性度量方法综述[J].唐山学院学报.2011,(9)：53-55.
[45]王晓翌.公司债券流动性与资产定价研究进展[J].管理学刊.2012,(2)：79-84.
[46]王茵田、文志瑛.股票市场和债券市场的流动性溢出效应研究[J].金融研究,2010,(3)：155-166.
[47]王展翔.流动性与资产定价：理论与实证[D].暨南大学博士学位论文,2005.
[48]威廉.夏普著,赵锡军等译.投资学[M].第1版.中国人民大学出版社,1998.
[49]吴柏均、杨威.上海股票交易市场流动性与资产定价的实证研究[J].郑州航空工业管理学院学报,2008,(8)：37-43.
[50]吴文锋、芮萌、陈工孟.中国股票收益的非流动性补偿[J].世界经济,2003,(7)：54-60.
[51]夏颉.企业债券市场流动性问题研究[D].江西财经大学硕士学位论文,2003.
[52]油晓峰、宋永明.对我国国债流动性问题的政策思考[J].财贸经济,2004,(3)：28-32.
[53]袁东.交易所债券市场与银行间债券市场波动性比较[J].世界经济,2004,(5)：63-80.
[54]余辉、胡玥.关于银行间债券市场流动性问题的探讨[J].中国货币市场,2002(12)：58-59.
[55]张亦春、郑振龙、林海主编.金融市场学[M].第3版.高等教育出版社,2008.
[56]张蕊等.上交所国债市场流动性溢价研究——基于4因子仿射利率期限结构模型[J].系统管理学报,2009,(10)：481-486.
[57]张瀛.做市商、流动性与买卖价差：基于银行间债券市场的流动性分析[J].世界 经济,2007,(10)：86-95.
[58]张铮、刘力.换手率与股票收益：流动性溢价还是投机性泡沫[J].经济学(季刊),2006,(3)：871-892.
[59]詹正茂、廉晓红、陈刚.我国公司债券流通市场的做市商制度分析[J].科技进步与对策,2004,(2)：18-23.
[60]中华人民共和国《公司法》,2006年1月.
[61]中华人民共和国《证券法》,2005年1月.
[62]中国证券监督管理委员会《公司债券发行试点办法》,2007年8月.
[63]中国证券监督管理委员会《上市公司证券发行管理办法》,2006年5月.
[64]朱世武、许凯.银行间债券市场流动性研究[J].统计研究,2004,(11)：41-46.
[65]兹维.博迪、亚历克.斯凯恩著,陈雨露等译.投资学精要[M].第4版.中国人民大学出版社,2003.
[66]Acharya, V., L. Pedersen,2005, "Asset Pricing with Liquidity Risk" [J], Journal of Financial Economics,Vol.77, Feb., PP375-410.
[67]Acharya, V., Y. Amihud and S. Bharath,2010, "Liquidity Risk of Corporate Bond Returns" [R], NBER Working Paper.
[68]Amihud, Y.,2002, " Illiquidity and stock returns:cross section and time series effects" [J], Journal of Financial Markets, Vol.5, Jan., PP31-56.
[69]Amihud, Y, Mendelson, H.,1991, "Liquidity, maturity, and yields on US Treasury securities" [J], Journal of Finance, Vol.46, PP1411-1425.
[70]Amihud,Y, Mendelson,H.,1986,"Asset pricing and the bid-ask spread"[J], Journal of Financial Economics, Vol.17,PP223-249.
[71]Amihud, Y, Mendelson, H.,1989, "The Effect of Beta, Bid-Ask Spread, Residuals Risk, and Size on Stock Returns" [J], The Journal of Finance, Vol.2, PP479-486.
[72]Bagehot, W.,1971, "The only game in town"[J], Financial Analysts Journal, Vol.27, PP12-14.
[73]Bangia, D., Diebold, F. X., Schuermann, T., et al,1998, "Modeling liquidity risk, with implication for traditional market risk measurement and management" [R], Wharton Working Paper, Financial Institutions Center.
[74]Banz Rolf,1981, "The Relationship between Return and Market Value of Common Stocks" [J], Journal of Financial Economics, Vol.9, PP 3-18.
[75]Bao, J., J. Pan, and J. Wang,2011, "The Illiquidity of Corporate Bonds"[J], Journal of Finance, Vol.66, PP911-946.
[76]Basu Sanjoy,1983, "The relationship between earnings yield, market value, and return for NYSE common stocks:Further evidence"[J], Journal of Financial Economics, Vol. 12,PP129-156.
[77]Bekaert, G, C. Harvey, C. Lundblad,2005, "Liquidity and Expected Returns:Lessons from Emerging Markets" [R], Duke University Working Paper.
[78]Bessembinder, H., W. Maxwell, and KV.enkataraman,2006,"Market transparency, liquidity externalities, and institutional trading costs in corporate bond"[J], Journal of Financial Economics, Vol.82,PP251-288.
[79]Bhandari, L. C.,1988, "Debt/Equity ratio and expected common stock returns: Empirical evidence" [J], Journal of Finance, Vol.43, PP507-528.
[80]Black, F.,1971, "Towards a Fully Automated Exchange,Part I"[J], Financial Analysts Journal, Vol.27, PP29-34.
[81]Black, F.,1972, "Capital Market Equilibrium with Restricted Borrowing"[J], The Journal of Business, Vol.45, Jul., PP 444-455.
[82]Black, F., Scholes M.,1973, "The Pricing of Options and Corporate Liabilities" [J], Journal of Political Economy, Vol.81, Jun., PP 637-654.
[83]Blanco, R., Brennan, S., Marsh, I.W.,2005, "An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps" [J], Journal of Finance, Vol.60, PP 2255-2281.
[84]Blume, M.E., Lim, F., MacKinlay, A.C.,1998, "The declining credit quality of U.S. corporate debt:Myth or reality?" [J], Journal of Finance, Vol.53, PP1389-1401.
[85]Brennan, M.J., Subrahmanyam, A.,1996, "Market microstructure and asset pricing:on the compensation for illiquidity in stock returns"[J], Journal of Financial Economics, Vol.41,PP441-464.
[86]Chacko, G, M. Subrahmanyam, S. Mahanti, et al.,2005, "The Determinants of Liquidity in the Corporate Bond Markets:An Application of Latent Liquidity"[R], Working paper.
[87]Chakravarty, S., A. Sarkar,1999, "Liquidity in fixed income markets:A comparison of the bid-ask spread in corporate, government, and municipal bond markets"[R], Working paper, Federal Reserve Bank of New York.
[88]Chan, Louis K., Hamao Y., Lakonishok J.,1991, "Fundamentals and stock returns in Japan" [J], Journal of Finance, Vol.46, PP 1739-1789.
[89]Chen, L., D. Lesmond, J. Wei,2007,"Corporate Yield Spreads and Bond Liquidity"[J], Journal of Finance, Vol.62, PP 119-149.
[90]Chordia, T., Roll, R., Subrahmanyam, A.,2000, "Commonality in Liquidity"[J], Journal of Financial Economics, Vol.56,PP3-28.
[91]Collin-Dufresne, P., R. S. Goldstein, and J. Martin,2001, "The determinants of credit spread changes" [J], Journal of Finance, Vol.56, PP2177-2207.
[92]Connolly R.,Stivers C.,Sun L.,2007, "Commonality in the time-variation of stock-stock and stock-bond return comovements"[J], Journal of Financial Markets, Vol.10, PP 192-218.
[93]Covitz, D., C. Downing,2007, "Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads" [J], Journal of Finance, Vol.62, PP2303-2328.
[94]David, A. Goodman and John W. Peavy, "Industry Relative Price-Earnings Ratios as Indicators of Investment Returns" [J], Financial Analysts Journal, Vol.39,PP 60-66.
[95]De Bondt, W., R. Thaler,1985, "Does the Stock Market Overreact?" [J], Journal of Finance, Vol.15, PP 793-805.
[96]De, Jong, F. and J. Driessen,2005,"Liquidity risk premia in corporate bond markets" [R], Working Paper, University of Amsterdam.
[97]Demesetz, H.,1968, "The cost of transaction"[J], Quarterly Journal of Economics, Vol.82, PP33-53.
[98]Dick-Nielsen, J.,2009, "Liquidity biases in TRACE"[J], Journal of Fixed Income, Vol.19, PP43-55.
[99]Dick-Nielsen, J., Feldhiitter, P., Lando, D.,2012, "Corporate bond liquidity before and after the onset of the subprime crisis" [J], Journal of Financial Economics, Vol.103, Mar., PP471-492.
[100]Downing, C., S. Underwood, Y Xing,2005, "Is liquidity risk priced in the corporate bond market?" [R], working paper, Rice University.
[101]Dufie, D., Lando, D.,2001, "Term structures of credit spreads with incomplete accounting information"[J]. Econometrica, Vol.69, PP633-664.
[102]Edwards, A., L. Harris, and M. Piwowar,2007, "Corporate bond market transparency and transaction costs" [J], Journal of finance, Vol.62, PP1421-1451.
[103]Elton E., Green T.,1998, "Tax and liquidity effects in pricing government bonds"[J], Journal of Finance, Vol.53, PP 1533-1562.
[104]Elton, E., Gruber, M., Agrawal, D., et al.2001, "Explaining the rate spread on corporate bonds" [J], Journal of Finance, Vol.56, PP 247-277.
[105]Ericsson, J., Renault, O.,2006, "Liquidity and credit risk" [J], Journal of Finance, Vol.61, PP 2219-2250.
[106]Fama, Eugene F., Kenneth R. French.,1992, "The Cross-Section of Expected Stock Returns"[J], Journal of Finance,Vol.47, Jun., PP 427-465.
[107]Fama, Eugene F., Kenneth R. French.,1993,"Common Risk Factors in the Returns on Stocks and Bonds" [J], Journal of Financial Economics, Vol.33, PP 3-56.
[108]Feldhiitter, P., Lando, D.,2008, "Decomposing swap spreads"[J], Journal of Financial Economics, Vol.88, PP 375-405.
[109]Feldhutter, P.,2010, "The same bond at different prices:identifying search frictions and selling pressures"[R], Working Paper.
[110]Fleming, J.,2001, "Measuring Treasury Market Liquidity" [R], Federal Reserve Bank of New York, Staff Reports, No.133, July.
[111]Fleming M., Remolona E.,1999, "Price formation and liquidity in the U.S. treasury market: the response to public information" [J], Journal of Finance, Vol.54, PP 1901-1915.
[112]Foster, F. Douglas, and S.Viswanathan,1993, "Variations in trading volume, return volatility, and trading costs:evidence on recent price formation models" [J], The Journal of Finance, Vol.48, PP 187-212.
[113]Friewald, N., Jankowitsch, R., Subrahmanyam, M.G.,2010, "Illiquidity or credit Deterioration:a study of liquidity in the US corporate bond market during financial crises" [J], Journal of Financial Economics, forthcoming.
[114]Garbade K.,1984, "Analyzing the structure of Treasury yields:Duration, coupon, and liquidity"[R], Topics in Money and Security Markets, New York, NY:Bankers Trust Co.
[115]Garbade, K., Silber W.,1979, "Dominant and Satellite Markets:A Study of Dually-Traded Securities" [J], the Review of Economics and Statistics, Vol.61, Aug., PP 455-460.
[116]Giintay, L., Hackbarth, D.,2010, "Corporate bond credit spreads and forecast dispersion" [J], Journal of Banking and Finance, Vol.34, PP 2328-2345.
[117]Glosten, L.R., Harris, L.E.,1988, "Estimating the components of the bid/ask spread" [J], Journal of Financial Economics, Vol.21, PP 123-142.
[118]Goldstein, M.A., Hotchkiss, E.,2008, "Dealer behavior and the trading of newly issued corporate bonds" [R], Unpublished working paper, Boston College.
[119]Goldstein, M.A., Hotchkiss, E., Sirri, E.R.,2007, "Transparency and liquidity: a controlled experiment on corporate bonds" [J], The Review of Financial Studies Vol.20, PP 235-273.
[120]Grossman, S., Miller J.,1988, "Liquidity and market structure" [J], The Journal of Finance, Vol.43, PP 617-637.
[121]Hamao, Y., Masulis, R. W. and Ng V.,1990, "Correlations in Price Changes and Volatility Across International Stock Markets" [J], Review of Financial Studies, Vol.3, PP 281-307.
[122]Han, S., Zhou, H.,2008, "Effects of bond liquidity on the nondefault component of corporate bond spreads:evidence from intraday transactions data"[R], Unpublished working paper, Federal Reserve Board.
[123]Harris, L.,1990, "Statistical properties of the roll serial covariance bid/ask spread estimator" [J], The Journal of Finance, Vol.45, PP 579-590.
[124]Harry, M.,1952, "Portfolio Selection" [J], the Journal of Finance, Vol.7. Mar., PP 77-91.
[125]Hasbrouck J, D. J.Seppi,2001, "Common Factors in Prices, Order Flows and Liquidity"[J], Journal of Financial Economics, Vol.59, PP 383-411.
[126]Hasbrouck, J.,1991, "Measuring the Information Content of Stock Trades" [J], Journal of Finance, Vol.46, PP 178-208.
[127]Hasbrouck, J.,2006, "Trading Costs and Returns for U.S. Equities; the Evidence from Daily Data"[R], Working Paper, New York University.
[128]Hicks, J.,1962, "Liquidity" [J], Economic Journal,Vol.72, PP 787-802.
[129]Hisata, Y., Yasuhiro, Y.,2000, "Research toward the Practical Application of Liquidity Risk Evaluation Methods" [J], Monetory and economics study,12, PP 83-127.
[130]Hong, G., A. Warga,2000, "An empirical study of bond market transactions"[J], Financial Analysts Journal, Vol.56, PP 32-46.
[131]Hotchkiss, E., T. Ronen,2002, "The information efficiency of the corporate bond market:An intraday analysis" [J], Review of Financial Studies Vol.15, PP 1325-1354.
[132]Hotchkiss, E., Jostova G.,2007, "Determinants of Corporate Bond Trading: A Comprehensive Analysis" [R], Working Paper.
[133]Houweling, P., A. Mentink, T. Vorst,2005, "Comparing Possible Proxies of Corporate Bond Liquidity" [J], Journal of Banking and Finance, Vol.29, PP 1331-1358.
[134]Huang, J., M. Huang,2003, "How Much of the Corporate-Treasury Yield Spread is due to Credit Risk? " [R], Working Paper, Stanford University.
[135]Huberman, G., D. Halka,2001, "Systematic Liquidity" [J], Journal of Financial Research, Vol.24, PP 161-178.
[136]Hui, B., B. Heubel,1984, "Comparative Liquidity Advantages Among Major U.S. Stock Markets" [M], Data Resources, Inc:Lexington, MA.
[137]Hull, J., Predescu, M., White, A.,2004, "The relationship between credit default swap spreads, bond yields, and credit rating announcements"[J], Journal of Banking and Finance, Vol.28, PP 2789-2811.
[138]Jacoby, G., Fowler, D. J., Gottesman, A.,2000, "The Capital Asset Pricing Model and the Liquidity Effect:a Theoretical Approach" [J], Journal of Financial Markets, Vol.3, PP 69-81.
[139]Jacoby, G., Gottesman, A., Fowler, D. J.,2001, "On Asset Pricing and the Bid-Ask Spread" [R], Working Paper.
[140]James, C., Edmister, R.,1983, "The Relation between Common Stock Returns Trading Activity and Market Value" [J], the Journal of Finance, Vol.38, Sep., PP 1075-1086.
[141]Jankowitsch R., Nashikkar A., Subrahmanyam G.,2011, "Price Dispersion in OTC Markets:A New Measure of Liquidity" [J], Journal of Banking and Finance, Vol.35, Feb., PP 343-357.
[142]Jegadeesh, N., S. Titman,1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency" [J], The Journal of Finance, Vol.48, Mar, PP 65-91.
[143]Jones, C. M.,2001, "A century of stock market liquidity and trading costs" [D], Graduate School of Business, Columbia University.
[144]Jorion, P.,2001, "Value at risk: The new benchmark for controlling market risk" [M], Chicago:The McGraw-Hill Company.
[145]Kamara A.,1994, "Liquidity, Taxes, and Short-Term Treasury Yields" [J], Journal of Financial and Quantitative Analysis, Vol.29, PP 403-417.
[146]Kamara A.,1988, "Market trading structures and asset pricing:Evidence from the Treasury-bill markets" [J], Review of Financial Studies, Vol.1, PP 357-375.
[147]Keynes, J.,1930, "Treatise on Money" [M], MacMillan.
[148]Kyle, A. S.,1985, "Continuous Auctions And Insider Trading" [J]. Econometrica, Vol.53, Jun,PP 1315-1334.
[149]Lin, H., J. Wang, C. Wu,2011, "Liquidity risk and expected corporate bond returns" [J], Journal of Financial Economics, Vol.99, PP 628-650.
[150]Lintner, J.,1965, "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets" [J], Review of Economics and Statistics, Vol.47, PP 13-37.
[151]Longstaff, F., S. Mithal, E. Neis,2005, "Corporate yield spreads:default risk or liquidity? New evidence from the credit-default swap market" [J], Journal of Finance, Vol.99, Oct,PP 2213-2253.
[152]Lynch A.W., Tan, S.,2003, "Explaining the magnitude of liquidity premia:the roles of return predictability, wealth shocks and state-dependent transaction costs" [R], Unpublished working paper, New York University.
[153]Mark M.Carhart,1997, "On persistence in mutual fund performance" [J], The Journal of Finance, Vol.52, Mar, PP 57-82.
[154]Markowitz H.,1952, "Portfolio Selection" [J], Journal of Finance, Vol.7, Mar, PP 77-91.
[155]Marsh, T., Rock K.,1986, "Exchange Listing and Liquidity:A Comparison of the American Stock Exchange with the NASDAQ National Market System"[R], American Stock Exchange Transactions Data Research Project No.2 Jan.
[156]Martin, P.,1975, "Analysis of the impact of competitive rates on the liquidity of NYSE stocks" [J], Economic Staff Papers 75-3, Securities and Exchange Commission, July.
[157]Massimb, M., Phelps, B.,1994,"Electronic trading, market structure, and liquidity" [J], Financial Analysts Journal, Vol.50, Jan-Feb, PP29-50.
[158]Mossin, J.,1966, "Equilibrium in a Capital Asset Market" [J], Econometrica, Vol.35, PP 768-783.
[159]Pastor, L., R. Stambaugh,2003, "Liquidity Risk and Expected Stock Rerurns"[J], Journal of Political Economy, Vol. 111, Jun, PP 642-685.
[160]Petersen, M.A.,2009, "Estimating standard errors in finance panel data sets: comparing approaches" [J], Review of Financial Studies, Vol.22, PP 435-480.
[161]Reinganum, M.,1981, "Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Value" [J], Journal of Financial Economics, Vol.9, PP 19-46.
[162]Roll R.,1981, "A Possible Explanation of the Small Firm Effect" [J], The Journal of Finance, Vol.36, Sep., PP 879-888.
[163]Roll R A.1984, "Simple implicit measure of the effective bid-ask spread in an efficient market" [J], Journal of Finance, Vol.39, PP 1127-1139.
[164]Rosenberg, B., K. Reid, R. Lanstein,1985, "Persuasive evidence of market inefficiency" [J], Journal of Portfolio Management, Vol.11, PP 9-17.
[165]Ross, S.,1976, "The Arbitrage Theory of Capital Asset Pricing" [J],Journal of Economic Theory, Vol.13, PP 341-360.
[166]Sadka, R.,2002, "Momentum, liquidity risk, and limits to arbitrage"[R], Unpublished working paper, Northwestern University.
[167]Sarig, O., A. Warga,1989, "Bond price data and bond market Liquidity" [J], Journal of Financial and Quantitative Analysis, Vol.24, PP 367-378.
[168]Scalia A., Vacca V.,1999, "Does Market Transparency Matter?:a Case Study" [R], Working Paper, Bank of Italy, Number 359.
[169]Schultz, P.,2001, "Corporate bond trading costs:A peek behind the curtain" [J], Journal of Finance, Vol.56, PP 677-698.
[170]Sharpe, W.,1964, "Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk" [J], Journal of Finance, Vol.19, PP 425-442.
[171]Stattman, D.,1980, "Book values and stock returns, The Chicago MBA" [J], A Journal of Selected Papers, Vol.4, PP 25-45.
[172]Tanner E., Kochin L.,1971, "The determinants of the difference between bid and ask price on government bonds"[J], Journal of Business, Vol.44, PP 375-379.
[173]Tobin, T.,1958, "Liquidity preference on behavior towards risk " [J], Review of Economic Studies, Vol.25, PP 68-85.
[174]Underwood S.,2009, "The cross-market information content of stock and bond order flow" [J], Journal of Financial Markets, Vol.12, PP 268-289.
[175]Wang, A.W.,2002, "Institutional equity flows, liquidity risk and asset pricing" [R], unpublished working paper, University of California, Los Angeles.
[176]Werner F.M., De Bondt, Richard H.,1986, "Further Evidence on Investor Overreaction and Stock Market Seasonally" [J], the Journal of Finance, Vol.42, Dec., PP 557-581.
[177]Wong K.A., Lye M.S.,1990, "Market Values, Earnings Yields and Stock Returns: Evidence from Singapore" [J], Journal of Banking and Finance, Vol.14, PP 311-326.
①Bagehot W.,(1971),The only game in town, Financial Analysts Journal,27,12-14.
②Grossman S., Miller J., (1988), Liquidity and market structure, The Journal of Finance,1988,43, 617-637.
①莫琳.奥哈拉著,杨之曙译.市场的微观结构理论[M].第1版.中国人民大学出版社,2007：169-190.
①Paul A. Samuelson. An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money. Journal of Political Economy.University of Chicago Press,1958, vol.66, pages 467.
①推导过程参见Acharya, V., L. Pedersen,2005, " Asset Pricing with Liquidity Risk", Journal of Financial Economics,Vol.77, Feb.,PP375-410.
①参见Friend, I., Blume, M.,1975," The demand for risky assets", American Economic Review,65, PP900-922.
[1]R.A.贾罗、V.马斯科西莫维、w.T.津巴编,吴文锋、仲黎明、冯芸译.金融经济学手册[M].第1版.上海人民出版社,2007：79-118.
[2]曹鸿波.银行间债券市场流动性指标分析[N].金融时报,1999-11-16.
[3]程文卫.我国交易所上市企业主体债券利差的影响因素研究[J].生产力研究,2009,(8)：56-71.
[4]董乐.银行间债券市场流动性溢价问题研究[J].运筹与管理,2007,(8)：79-88.
[5]范乔希.银行间债券市场流动性的实证分析[J].山西农业大学学报(社会科学版),2004(1)：52-55.
[6]方丹.我国债券市场流动性实证分析[J].辽宁石油化工大学学报,2009,(6)：85-92.
[7]弗兰克.法博齐著,路蒙佳译.债券市场分析与策略[M].第7版.中国人民大学出版社,2011：40-55.
[8]弗兰克.法博齐编著,任若恩、李焰译.固定收益证券手册[M].第6版.中国人民大学出版社,2005：220-244.
[9]郭泓、杨之曙.国债市场新券和旧券流动性实证研究[J].证券市场导报,2006(2)：62-68.
[10]郭泓、武康平.上交所国债市场流动性溢价分析[J].金融论坛,2006(6)：23-29.
[11]黄丹.中国银行间债券市场发展为场外市场的问题研究[D].西南财经大学硕士学位论文,2007.
[12]黄峰,杨朝军.流动性风险与资产定价：来自我国股市的经验证据[J].管理世界,2007(5)：30-48.
[13黄妍、吴凯.银行间债券市场流动性问题的原因分析及其对策[J].经济前沿,2003,(7)：39-41.
[14]胡永青.中国企业债券市场流动性分析[J].经济纵横,2002,(9)：14-16.
[15]金雪军、徐利君、徐冯璐.交易成本与国债市场流动性：基于上海债市的实证研究[J].软科学,2006,20(1)：53-56.
[16]孔东民.流动性风险与资产定价：来自中国股市的证据[J].南方经济,2006,(3)：91-107.
[17]李仁健.中国国债市场流动性现状及因素分析[D].上海交通大学硕士学位论文, 2007.
[18]李新.中国国债市场流动性分析[J].金融研究,2001,(3)：116-121.
[19]李焰、曹晋文.对我国国债市场流动性的实证研究[J].财贸经济,2005,(9)：55-61.
[20]李一红、吴世农.中国股市流动性溢价的实证研究[J].管理评论,2003,(15)：34-42.
[21]廖敏辉.我国企业债券市场的流动性研究[D].湖南大学硕士学位论文,2007.
[22]林海、郑振龙.中国违约风险溢酬研究[J].证券市场导报,2003,(6)：41-44.
[23]林华.中国上海证券交易所债券流动性分析[D].厦门大学硕士学位论文,2008.
[24]刘逖.证券市场微观结构理论与实践[M].上海：复旦大学出版社,2002.
[25]陆静、唐小我.股票流动性与期望收益的关系研究[J].管理工程学报,2004,18(2)：109-111.
[26]卢遵华、陈一丁、张莲.我国银行间债券市场流动性分析[J].证券市场导报,2004,(2)：47-51.
[27]罗登跃、王春峰、房振明等.基于时间序列的上海股市系统风险、流动性风险溢价实证研究[J].系统工程,2005,(7)：49-54.
[28]罗登跃.流动性与资产定价：基于中国证券市场的研究[D].天津大学博士学位论文,2007.
[29]马岩祥.公司债券价格影响因素的实证分析[D].新疆财经大学硕士学位论文,2010.
[30]莫琳.奥哈拉著,杨之曙译.市场的微观结构理论[M].第1版.中国人民大学出版社,2007：169-190.
[31]闵晓平.公司债券流动性衡量和决定研究述评[J].证券市场导报,2008,(10)：65-71.
[32]闵晓平.公司债券流动性溢价研究进展[J].经济学动态,2009(6)：103-108.
[33]潘晓佳.中国企业债券市场流动性研究[D].厦门大学硕士学位论文,2007.
[34]瞿强.国债市场流动性研究——一个比较分析框架[J].金融研究,2001(6)：75-83.
[35]尚玉皇.中国公司债券市场流动性研究[D].暨南大学硕士学位论文,2010.
[36]邵玲.我国银行间债券市场与交易所债券市场比较研究[D].厦门大学硕士学位论文,2006.
[37]苏冬蔚、麦元勋.流动性与资产定价：基于我国股市资产换手率与预期收益的实证研究[J].经济研究,2004(2)：95-105.
[38]施婷、范龙振.上海证券交易所回购利率期限结构的风险溢酬[J].系统工程理论方法应用,2006,(4)：359-372.
[39]宋献中、王展翔.股票流动性与资产定价：基于时间序列回归的实证分析.财经理论与实践[J].2004,25(6)：43-49.
[40]孙小丽.公司债券市场的流动性指标比较[D].厦门大学硕士学位论文,2008.
[41]谭地军、田益祥、黄文光.中国企业债券特征与风险补偿[J].数量经济技术经济研究,2008,(2)：74-87.
[42]王春峰、韩冬、蒋祥林.流动性与股票回报：基于上海股市的实证研究[J].经济管理,2002,(24)：58-67.
[43]王春峰著.金融市场风险管理[M].第1版.天津大学出版社,2001.
[44]王晓翌.公司债券流动性度量方法综述[J].唐山学院学报.2011,(9)：53-55.
[45]王晓翌.公司债券流动性与资产定价研究进展[J].管理学刊.2012,(2)：79-84.
[46]王茵田、文志瑛.股票市场和债券市场的流动性溢出效应研究[J].金融研究,2010,(3)：155-166.
[47]王展翔.流动性与资产定价：理论与实证[D].暨南大学博士学位论文,2005.
[48]威廉.夏普著,赵锡军等译.投资学[M].第1版.中国人民大学出版社,1998.
[49]吴柏均、杨威.上海股票交易市场流动性与资产定价的实证研究[J].郑州航空工业管理学院学报,2008,(8)：37-43.
[50]吴文锋、芮萌、陈工孟.中国股票收益的非流动性补偿[J].世界经济,2003,(7)：54-60.
[51]夏颉.企业债券市场流动性问题研究[D].江西财经大学硕士学位论文,2003.
[52]油晓峰、宋永明.对我国国债流动性问题的政策思考[J].财贸经济,2004,(3)：28-32.
[53]袁东.交易所债券市场与银行间债券市场波动性比较[J].世界经济,2004,(5)：63-80.
[54]余辉、胡玥.关于银行间债券市场流动性问题的探讨[J].中国货币市场,2002(12)：58-59.
[55]张亦春、郑振龙、林海主编.金融市场学[M].第3版.高等教育出版社,2008.
[56]张蕊等.上交所国债市场流动性溢价研究——基于4因子仿射利率期限结构模型[J].系统管理学报,2009,(10)：481-486.
[57]张瀛.做市商、流动性与买卖价差：基于银行间债券市场的流动性分析[J].世界 经济,2007,(10)：86-95.
[58]张铮、刘力.换手率与股票收益：流动性溢价还是投机性泡沫[J].经济学(季刊),2006,(3)：871-892.
[59]詹正茂、廉晓红、陈刚.我国公司债券流通市场的做市商制度分析[J].科技进步与对策,2004,(2)：18-23.
[60]中华人民共和国《公司法》,2006年1月.
[61]中华人民共和国《证券法》,2005年1月.
[62]中国证券监督管理委员会《公司债券发行试点办法》,2007年8月.
[63]中国证券监督管理委员会《上市公司证券发行管理办法》,2006年5月.
[64]朱世武、许凯.银行间债券市场流动性研究[J].统计研究,2004,(11)：41-46.
[65]兹维.博迪、亚历克.斯凯恩著,陈雨露等译.投资学精要[M].第4版.中国人民大学出版社,2003.
[66]Acharya, V., L. Pedersen,2005, "Asset Pricing with Liquidity Risk" [J], Journal of Financial Economics,Vol.77, Feb., PP375-410.
[67]Acharya, V., Y. Amihud and S. Bharath,2010, "Liquidity Risk of Corporate Bond Returns" [R], NBER Working Paper.
[68]Amihud, Y.,2002, " Illiquidity and stock returns:cross section and time series effects" [J], Journal of Financial Markets, Vol.5, Jan., PP31-56.
[69]Amihud, Y, Mendelson, H.,1991, "Liquidity, maturity, and yields on US Treasury securities" [J], Journal of Finance, Vol.46, PP1411-1425.
[70]Amihud,Y, Mendelson,H.,1986,"Asset pricing and the bid-ask spread"[J], Journal of Financial Economics, Vol.17,PP223-249.
[71]Amihud, Y, Mendelson, H.,1989, "The Effect of Beta, Bid-Ask Spread, Residuals Risk, and Size on Stock Returns" [J], The Journal of Finance, Vol.2, PP479-486.
[72]Bagehot, W.,1971, "The only game in town"[J], Financial Analysts Journal, Vol.27, PP12-14.
[73]Bangia, D., Diebold, F. X., Schuermann, T., et al,1998, "Modeling liquidity risk, with implication for traditional market risk measurement and management" [R], Wharton Working Paper, Financial Institutions Center.
[74]Banz Rolf,1981, "The Relationship between Return and Market Value of Common Stocks" [J], Journal of Financial Economics, Vol.9, PP 3-18.
[75]Bao, J., J. Pan, and J. Wang,2011, "The Illiquidity of Corporate Bonds"[J], Journal of Finance, Vol.66, PP911-946.
[76]Basu Sanjoy,1983, "The relationship between earnings yield, market value, and return for NYSE common stocks:Further evidence"[J], Journal of Financial Economics, Vol. 12,PP129-156.
[77]Bekaert, G, C. Harvey, C. Lundblad,2005, "Liquidity and Expected Returns:Lessons from Emerging Markets" [R], Duke University Working Paper.
[78]Bessembinder, H., W. Maxwell, and KV.enkataraman,2006,"Market transparency, liquidity externalities, and institutional trading costs in corporate bond"[J], Journal of Financial Economics, Vol.82,PP251-288.
[79]Bhandari, L. C.,1988, "Debt/Equity ratio and expected common stock returns: Empirical evidence" [J], Journal of Finance, Vol.43, PP507-528.
[80]Black, F.,1971, "Towards a Fully Automated Exchange,Part I"[J], Financial Analysts Journal, Vol.27, PP29-34.
[81]Black, F.,1972, "Capital Market Equilibrium with Restricted Borrowing"[J], The Journal of Business, Vol.45, Jul., PP 444-455.
[82]Black, F., Scholes M.,1973, "The Pricing of Options and Corporate Liabilities" [J], Journal of Political Economy, Vol.81, Jun., PP 637-654.
[83]Blanco, R., Brennan, S., Marsh, I.W.,2005, "An empirical analysis of the dynamic relationship between investment grade bonds and credit default swaps" [J], Journal of Finance, Vol.60, PP 2255-2281.
[84]Blume, M.E., Lim, F., MacKinlay, A.C.,1998, "The declining credit quality of U.S. corporate debt:Myth or reality?" [J], Journal of Finance, Vol.53, PP1389-1401.
[85]Brennan, M.J., Subrahmanyam, A.,1996, "Market microstructure and asset pricing:on the compensation for illiquidity in stock returns"[J], Journal of Financial Economics, Vol.41,PP441-464.
[86]Chacko, G, M. Subrahmanyam, S. Mahanti, et al.,2005, "The Determinants of Liquidity in the Corporate Bond Markets:An Application of Latent Liquidity"[R], Working paper.
[87]Chakravarty, S., A. Sarkar,1999, "Liquidity in fixed income markets:A comparison of the bid-ask spread in corporate, government, and municipal bond markets"[R], Working paper, Federal Reserve Bank of New York.
[88]Chan, Louis K., Hamao Y., Lakonishok J.,1991, "Fundamentals and stock returns in Japan" [J], Journal of Finance, Vol.46, PP 1739-1789.
[89]Chen, L., D. Lesmond, J. Wei,2007,"Corporate Yield Spreads and Bond Liquidity"[J], Journal of Finance, Vol.62, PP 119-149.
[90]Chordia, T., Roll, R., Subrahmanyam, A.,2000, "Commonality in Liquidity"[J], Journal of Financial Economics, Vol.56,PP3-28.
[91]Collin-Dufresne, P., R. S. Goldstein, and J. Martin,2001, "The determinants of credit spread changes" [J], Journal of Finance, Vol.56, PP2177-2207.
[92]Connolly R.,Stivers C.,Sun L.,2007, "Commonality in the time-variation of stock-stock and stock-bond return comovements"[J], Journal of Financial Markets, Vol.10, PP 192-218.
[93]Covitz, D., C. Downing,2007, "Liquidity or Credit Risk? The Determinants of Very Short-Term Corporate Yield Spreads" [J], Journal of Finance, Vol.62, PP2303-2328.
[94]David, A. Goodman and John W. Peavy, "Industry Relative Price-Earnings Ratios as Indicators of Investment Returns" [J], Financial Analysts Journal, Vol.39,PP 60-66.
[95]De Bondt, W., R. Thaler,1985, "Does the Stock Market Overreact?" [J], Journal of Finance, Vol.15, PP 793-805.
[96]De, Jong, F. and J. Driessen,2005,"Liquidity risk premia in corporate bond markets" [R], Working Paper, University of Amsterdam.
[97]Demesetz, H.,1968, "The cost of transaction"[J], Quarterly Journal of Economics, Vol.82, PP33-53.
[98]Dick-Nielsen, J.,2009, "Liquidity biases in TRACE"[J], Journal of Fixed Income, Vol.19, PP43-55.
[99]Dick-Nielsen, J., Feldhiitter, P., Lando, D.,2012, "Corporate bond liquidity before and after the onset of the subprime crisis" [J], Journal of Financial Economics, Vol.103, Mar., PP471-492.
[100]Downing, C., S. Underwood, Y Xing,2005, "Is liquidity risk priced in the corporate bond market?" [R], working paper, Rice University.
[101]Dufie, D., Lando, D.,2001, "Term structures of credit spreads with incomplete accounting information"[J]. Econometrica, Vol.69, PP633-664.
[102]Edwards, A., L. Harris, and M. Piwowar,2007, "Corporate bond market transparency and transaction costs" [J], Journal of finance, Vol.62, PP1421-1451.
[103]Elton E., Green T.,1998, "Tax and liquidity effects in pricing government bonds"[J], Journal of Finance, Vol.53, PP 1533-1562.
[104]Elton, E., Gruber, M., Agrawal, D., et al.2001, "Explaining the rate spread on corporate bonds" [J], Journal of Finance, Vol.56, PP 247-277.
[105]Ericsson, J., Renault, O.,2006, "Liquidity and credit risk" [J], Journal of Finance, Vol.61, PP 2219-2250.
[106]Fama, Eugene F., Kenneth R. French.,1992, "The Cross-Section of Expected Stock Returns"[J], Journal of Finance,Vol.47, Jun., PP 427-465.
[107]Fama, Eugene F., Kenneth R. French.,1993,"Common Risk Factors in the Returns on Stocks and Bonds" [J], Journal of Financial Economics, Vol.33, PP 3-56.
[108]Feldhiitter, P., Lando, D.,2008, "Decomposing swap spreads"[J], Journal of Financial Economics, Vol.88, PP 375-405.
[109]Feldhutter, P.,2010, "The same bond at different prices:identifying search frictions and selling pressures"[R], Working Paper.
[110]Fleming, J.,2001, "Measuring Treasury Market Liquidity" [R], Federal Reserve Bank of New York, Staff Reports, No.133, July.
[111]Fleming M., Remolona E.,1999, "Price formation and liquidity in the U.S. treasury market: the response to public information" [J], Journal of Finance, Vol.54, PP 1901-1915.
[112]Foster, F. Douglas, and S.Viswanathan,1993, "Variations in trading volume, return volatility, and trading costs:evidence on recent price formation models" [J], The Journal of Finance, Vol.48, PP 187-212.
[113]Friewald, N., Jankowitsch, R., Subrahmanyam, M.G.,2010, "Illiquidity or credit Deterioration:a study of liquidity in the US corporate bond market during financial crises" [J], Journal of Financial Economics, forthcoming.
[114]Garbade K.,1984, "Analyzing the structure of Treasury yields:Duration, coupon, and liquidity"[R], Topics in Money and Security Markets, New York, NY:Bankers Trust Co.
[115]Garbade, K., Silber W.,1979, "Dominant and Satellite Markets:A Study of Dually-Traded Securities" [J], the Review of Economics and Statistics, Vol.61, Aug., PP 455-460.
[116]Giintay, L., Hackbarth, D.,2010, "Corporate bond credit spreads and forecast dispersion" [J], Journal of Banking and Finance, Vol.34, PP 2328-2345.
[117]Glosten, L.R., Harris, L.E.,1988, "Estimating the components of the bid/ask spread" [J], Journal of Financial Economics, Vol.21, PP 123-142.
[118]Goldstein, M.A., Hotchkiss, E.,2008, "Dealer behavior and the trading of newly issued corporate bonds" [R], Unpublished working paper, Boston College.
[119]Goldstein, M.A., Hotchkiss, E., Sirri, E.R.,2007, "Transparency and liquidity: a controlled experiment on corporate bonds" [J], The Review of Financial Studies Vol.20, PP 235-273.
[120]Grossman, S., Miller J.,1988, "Liquidity and market structure" [J], The Journal of Finance, Vol.43, PP 617-637.
[121]Hamao, Y., Masulis, R. W. and Ng V.,1990, "Correlations in Price Changes and Volatility Across International Stock Markets" [J], Review of Financial Studies, Vol.3, PP 281-307.
[122]Han, S., Zhou, H.,2008, "Effects of bond liquidity on the nondefault component of corporate bond spreads:evidence from intraday transactions data"[R], Unpublished working paper, Federal Reserve Board.
[123]Harris, L.,1990, "Statistical properties of the roll serial covariance bid/ask spread estimator" [J], The Journal of Finance, Vol.45, PP 579-590.
[124]Harry, M.,1952, "Portfolio Selection" [J], the Journal of Finance, Vol.7. Mar., PP 77-91.
[125]Hasbrouck J, D. J.Seppi,2001, "Common Factors in Prices, Order Flows and Liquidity"[J], Journal of Financial Economics, Vol.59, PP 383-411.
[126]Hasbrouck, J.,1991, "Measuring the Information Content of Stock Trades" [J], Journal of Finance, Vol.46, PP 178-208.
[127]Hasbrouck, J.,2006, "Trading Costs and Returns for U.S. Equities; the Evidence from Daily Data"[R], Working Paper, New York University.
[128]Hicks, J.,1962, "Liquidity" [J], Economic Journal,Vol.72, PP 787-802.
[129]Hisata, Y., Yasuhiro, Y.,2000, "Research toward the Practical Application of Liquidity Risk Evaluation Methods" [J], Monetory and economics study,12, PP 83-127.
[130]Hong, G., A. Warga,2000, "An empirical study of bond market transactions"[J], Financial Analysts Journal, Vol.56, PP 32-46.
[131]Hotchkiss, E., T. Ronen,2002, "The information efficiency of the corporate bond market:An intraday analysis" [J], Review of Financial Studies Vol.15, PP 1325-1354.
[132]Hotchkiss, E., Jostova G.,2007, "Determinants of Corporate Bond Trading: A Comprehensive Analysis" [R], Working Paper.
[133]Houweling, P., A. Mentink, T. Vorst,2005, "Comparing Possible Proxies of Corporate Bond Liquidity" [J], Journal of Banking and Finance, Vol.29, PP 1331-1358.
[134]Huang, J., M. Huang,2003, "How Much of the Corporate-Treasury Yield Spread is due to Credit Risk? " [R], Working Paper, Stanford University.
[135]Huberman, G., D. Halka,2001, "Systematic Liquidity" [J], Journal of Financial Research, Vol.24, PP 161-178.
[136]Hui, B., B. Heubel,1984, "Comparative Liquidity Advantages Among Major U.S. Stock Markets" [M], Data Resources, Inc:Lexington, MA.
[137]Hull, J., Predescu, M., White, A.,2004, "The relationship between credit default swap spreads, bond yields, and credit rating announcements"[J], Journal of Banking and Finance, Vol.28, PP 2789-2811.
[138]Jacoby, G., Fowler, D. J., Gottesman, A.,2000, "The Capital Asset Pricing Model and the Liquidity Effect:a Theoretical Approach" [J], Journal of Financial Markets, Vol.3, PP 69-81.
[139]Jacoby, G., Gottesman, A., Fowler, D. J.,2001, "On Asset Pricing and the Bid-Ask Spread" [R], Working Paper.
[140]James, C., Edmister, R.,1983, "The Relation between Common Stock Returns Trading Activity and Market Value" [J], the Journal of Finance, Vol.38, Sep., PP 1075-1086.
[141]Jankowitsch R., Nashikkar A., Subrahmanyam G.,2011, "Price Dispersion in OTC Markets:A New Measure of Liquidity" [J], Journal of Banking and Finance, Vol.35, Feb., PP 343-357.
[142]Jegadeesh, N., S. Titman,1993, "Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency" [J], The Journal of Finance, Vol.48, Mar, PP 65-91.
[143]Jones, C. M.,2001, "A century of stock market liquidity and trading costs" [D], Graduate School of Business, Columbia University.
[144]Jorion, P.,2001, "Value at risk: The new benchmark for controlling market risk" [M], Chicago:The McGraw-Hill Company.
[145]Kamara A.,1994, "Liquidity, Taxes, and Short-Term Treasury Yields" [J], Journal of Financial and Quantitative Analysis, Vol.29, PP 403-417.
[146]Kamara A.,1988, "Market trading structures and asset pricing:Evidence from the Treasury-bill markets" [J], Review of Financial Studies, Vol.1, PP 357-375.
[147]Keynes, J.,1930, "Treatise on Money" [M], MacMillan.
[148]Kyle, A. S.,1985, "Continuous Auctions And Insider Trading" [J]. Econometrica, Vol.53, Jun,PP 1315-1334.
[149]Lin, H., J. Wang, C. Wu,2011, "Liquidity risk and expected corporate bond returns" [J], Journal of Financial Economics, Vol.99, PP 628-650.
[150]Lintner, J.,1965, "The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets" [J], Review of Economics and Statistics, Vol.47, PP 13-37.
[151]Longstaff, F., S. Mithal, E. Neis,2005, "Corporate yield spreads:default risk or liquidity? New evidence from the credit-default swap market" [J], Journal of Finance, Vol.99, Oct,PP 2213-2253.
[152]Lynch A.W., Tan, S.,2003, "Explaining the magnitude of liquidity premia:the roles of return predictability, wealth shocks and state-dependent transaction costs" [R], Unpublished working paper, New York University.
[153]Mark M.Carhart,1997, "On persistence in mutual fund performance" [J], The Journal of Finance, Vol.52, Mar, PP 57-82.
[154]Markowitz H.,1952, "Portfolio Selection" [J], Journal of Finance, Vol.7, Mar, PP 77-91.
[155]Marsh, T., Rock K.,1986, "Exchange Listing and Liquidity:A Comparison of the American Stock Exchange with the NASDAQ National Market System"[R], American Stock Exchange Transactions Data Research Project No.2 Jan.
[156]Martin, P.,1975, "Analysis of the impact of competitive rates on the liquidity of NYSE stocks" [J], Economic Staff Papers 75-3, Securities and Exchange Commission, July.
[157]Massimb, M., Phelps, B.,1994,"Electronic trading, market structure, and liquidity" [J], Financial Analysts Journal, Vol.50, Jan-Feb, PP29-50.
[158]Mossin, J.,1966, "Equilibrium in a Capital Asset Market" [J], Econometrica, Vol.35, PP 768-783.
[159]Pastor, L., R. Stambaugh,2003, "Liquidity Risk and Expected Stock Rerurns"[J], Journal of Political Economy, Vol. 111, Jun, PP 642-685.
[160]Petersen, M.A.,2009, "Estimating standard errors in finance panel data sets: comparing approaches" [J], Review of Financial Studies, Vol.22, PP 435-480.
[161]Reinganum, M.,1981, "Misspecification of Capital Asset Pricing: Empirical Anomalies Based on Earnings Yields and Market Value" [J], Journal of Financial Economics, Vol.9, PP 19-46.
[162]Roll R.,1981, "A Possible Explanation of the Small Firm Effect" [J], The Journal of Finance, Vol.36, Sep., PP 879-888.
[163]Roll R A.1984, "Simple implicit measure of the effective bid-ask spread in an efficient market" [J], Journal of Finance, Vol.39, PP 1127-1139.
[164]Rosenberg, B., K. Reid, R. Lanstein,1985, "Persuasive evidence of market inefficiency" [J], Journal of Portfolio Management, Vol.11, PP 9-17.
[165]Ross, S.,1976, "The Arbitrage Theory of Capital Asset Pricing" [J],Journal of Economic Theory, Vol.13, PP 341-360.
[166]Sadka, R.,2002, "Momentum, liquidity risk, and limits to arbitrage"[R], Unpublished working paper, Northwestern University.
[167]Sarig, O., A. Warga,1989, "Bond price data and bond market Liquidity" [J], Journal of Financial and Quantitative Analysis, Vol.24, PP 367-378.
[168]Scalia A., Vacca V.,1999, "Does Market Transparency Matter?:a Case Study" [R], Working Paper, Bank of Italy, Number 359.
[169]Schultz, P.,2001, "Corporate bond trading costs:A peek behind the curtain" [J], Journal of Finance, Vol.56, PP 677-698.
[170]Sharpe, W.,1964, "Capital Asset Prices:A Theory of Market Equilibrium under Conditions of Risk" [J], Journal of Finance, Vol.19, PP 425-442.
[171]Stattman, D.,1980, "Book values and stock returns, The Chicago MBA" [J], A Journal of Selected Papers, Vol.4, PP 25-45.
[172]Tanner E., Kochin L.,1971, "The determinants of the difference between bid and ask price on government bonds"[J], Journal of Business, Vol.44, PP 375-379.
[173]Tobin, T.,1958, "Liquidity preference on behavior towards risk " [J], Review of Economic Studies, Vol.25, PP 68-85.
[174]Underwood S.,2009, "The cross-market information content of stock and bond order flow" [J], Journal of Financial Markets, Vol.12, PP 268-289.
[175]Wang, A.W.,2002, "Institutional equity flows, liquidity risk and asset pricing" [R], unpublished working paper, University of California, Los Angeles.
[176]Werner F.M., De Bondt, Richard H.,1986, "Further Evidence on Investor Overreaction and Stock Market Seasonally" [J], the Journal of Finance, Vol.42, Dec., PP 557-581.
[177]Wong K.A., Lye M.S.,1990, "Market Values, Earnings Yields and Stock Returns: Evidence from Singapore" [J], Journal of Banking and Finance, Vol.14, PP 311-326.