Critical Finance Review 2019, Vol 8-2

流动性风险与资产定价

作者：Hongtao Li(Tulane University)

Robert Novy-Marx(University of Rochester)

Mihail Velikov(Federal Reserve Bank of Richmond)

摘要：Pastor和Stambaugh（PS2003）的总体流动性创新可以被准确地复制，这种复制是基于历史估计的流动性beta的交易因子，且这种交易因子在样本外表现得更好。然而，这个因素的性能对构造细节高度敏感，在以自然月频率重新平衡或者使用更多或更少的极端分类构造时，表现较弱。它们预测的流动性风险因子更难复制，也更难解释，因为选择用于预测流动性风险的特征将机械关系引入到其他已知的异常中。与PS的声明相反，流动性风险似乎与动量基本无关。

Liquidity risk and asset pricing

Hongtao Li(Tulane University), Robert Novy-Marx(University of Rochester), Mihail Velikov(Federal Reserve Bank of Richmond)

ABSTRACT

Pastor and Stambaugh’s (PS 2003) aggregate liquidity innovations can be closely replicated, as can their traded factor based on historically estimated liquidity betas, which performs even stronger out of sample. This factor’s performance is highly sensitive to construction details, however, and exhibits significantly weaker performance when rebalanced at its natural monthly frequency, or when constructed using either more or less extreme sorts. Their predicted liquidity risk factor is more difficult to replicate, and difficult to interpret because characteristics chosen to predict liquidity risk introduce mechanical relations to other known anomalies. Contrary to the claims of PS, liquidity risk appears essentially unrelated to momentum.

原文链接：http://cfr.ivo-welch.info/readers/2018/li-novymarx-velikov-2018.pdf

翻译：董宇佳