标题：Liquidity risk and asset pricing: The multivariate GARCH-in-mean application
作者机构：[Luo, Dengyue ] School of Business and Management, Shandong University, Jinan 250100, China
会议名称：1st International Conference on E-Business and E-Government, ICEE 2010
会议日期：7 May 2010 through 9 May 2010
来源：Proceedings of the International Conference on E-Business and E-Government, ICEE 2010
关键词：Asset pricing; Idiosyncratic risk; Liquidity risk
摘要：In this paper, the concept of liquidity risk in the sense of asset pricing is discussed firstly, and then all the liquidity risks are analyzed from two different aspects. From the whole market, there are two liquidity risks, namely, market returns sensitivity to aggregate liquidity level and volatility of aggregate liquidity level, while from the point of portfolio or individual security, there are four liquidity risks, namely, systematic liquidity risk, portfolio return sensitivity to market liquidity, portfolio liquidity sensitivity to market returns and volatility of portfolio liquidity level. Finally, a uniform model-the multivariate GARCH-in-mean is defined to investigate the relationship between all liquidity risks of two aspects and asset pricing. And the model also includes the impact of market risk, systematic risk and idiosyncratic risk on asset pricing. © 2010 IEEE.