Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market
推导了一个包含流动性风险、衍生品和卖空限制的均衡资产定价模型，并用信用违约互换市场数据验证，发现流动性风险对预期收益有显著但经济上较小的影响。
ABSTRACT We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short‐selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short‐sellers have more wealth, lower risk aversion, or shorter horizon. The pricing of liquidity risk is different for derivatives than for positive‐net‐supply assets, and depends on investors' net nontraded risk exposure. We estimate this model for the credit default swap market. We find strong evidence for an expected liquidity premium earned by the credit protection seller. The effect of liquidity risk is significant but economically small.