Consumption CAPM, Liquidity Risks and REIT Returns
Date Issued
2006
Date
2006
Author(s)
Huang, Chung-Min
DOI
en-US
Abstract
This study develops an asset pricing model with consumption and liquidity risks, where agents decide how to allocate their wealth in investments and consumptions. The presence of liquidity risk gives rise to the liquidity costs that changes the expected return of assets and the allocation of the capital. According to our liquidity-adjusted consumption capital asset pricing model, liquidity risk increases the mean of required or expected asset returns, and consequently the pricing of asset itself. Therefore, agents’ consumption depends on whether the utility from consuming now is more than that of the expected return minus the liquidity cost of investing now. Our empirical analysis finds some cross-sectional determinants of expected REIT returns and provides evidence of liquidity.
Subjects
流動性風險
消費資產定價模型
流動性成本
不動產投資信託
liquidity risk
consumption capital asset pricing model CCAPM
liquidity cost
REIT
Type
thesis
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