%0 Journal Article
%T Liquidity Premium:A theoretical Analysis<br>流动性溢价:一个理论分析
%A CHENG Bing
%A WU Wei-xing
%A <br>程兵
%A 吴卫星
%J 系统工程理论与实践
%D 2004
%I 
%X We derive a liquidity-adjusted version of the consumption-basedasset pricing theory based onreturns calculated after taking into account the effect of illiquidity, i.e. the cash flow can not be sold without any discount. Based on this model, we try to interpret the abnormal performances of stock prices such as equity premium puzzle, size effect.
%K consumption-based asset pricing theory
%K liquidity premium
%K equity premium puzzle
%K size effect
%K captial asset pricing model<br>消费版的资产定价模型
%K 流动性溢价
%K 证券溢价之谜
%K 规模效应
%K 资本资产定价模型
%U http://www.alljournals.cn/get_abstract_url.aspx?pcid=01BA20E8BA813E1908F3698710BBFEFEE816345F465FEBA5&cid=962324E222C1AC1D&jid=1D057D9E7CAD6BEE9FA97306E08E48D3&aid=63BE3345881CFE6F&yid=D0E58B75BFD8E51C&vid=B91E8C6D6FE990DB&iid=5D311CA918CA9A03&sid=2A3781E88AB1776F&eid=8E6AB9C3EBAAE921&journal_id=1000-6788&journal_name=系统工程理论与实践&referenced_num=1&reference_num=14