荷世平臺灣大學：土木工程學研究所黃崇閔Huang, Chung-MinChung-MinHuang2007-11-252018-07-092007-11-252018-07-092006http://ntur.lib.ntu.edu.tw//handle/246246/50495本篇論文建立一個考量流動性風險（liquidity risk）的消費資產定價模型（consumption capital asset pricing model ,C-CAPM）。在投資者考慮消費或投資的資金分配時，因為流動性風險的存在所產生的流動性成本（liquidity cost），改變了資產的預期報酬率，造成投資者資金的重新分配，進而影響資產本身的定價。在本篇論文所建構的定價模型中，流動性風險的存在，降低了資產的超額報酬（excess return），卻提高了資產要求報酬率的平均（mean）以及變異（variance）。因此，投資者決定消費與否的依據是在於：此時消費所產生的效用，是否會大於延遲消費而選擇投資，扣除流動性成本之後的資產預期報酬？最後對於本研究定價模型所提出的相關假說，以計量經濟的方法對於不動產投資信託（REIT）定價進行驗證，並與其他主要資產定價模型做一比較，進而確立流動性風險對於資產定價的影響性。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.CHAPTER 1. Introduction 1 1.1. Motivation 1 1.2. Significance 3 1.3. Organization 3 CHAPTER 2. Literature Review 4 2.1. The Studies of Liquidity Risks in Asset Pricing 4 2.2. Consumption Capital Asset Pricing Model (C-CAPM) Theories 5 2.3. The Pricing Model Applications in REIT Returns 5 CHAPTER 3. Liquidity-Adjusted CCAPM 7 3.1. Assumptions and Notation of the Discrete-Time Model 7 3.2. Relationship between Consumption and Investment 8 3.3. Liquidity Cost, Wealth and Expected Returns 8 3.4. The agent’s optimization problem 10 3.4.1. The Derived Utility of Wealth Function 10 3.4.2. The Solution Technique: Stochastic Dynamic Programming 10 3.4.3. General Equilibrium 12 CHAPTER 4. Empirical Methodology 14 4.1. Data and Preliminary Regression 14 4.1.1. REIT Data 14 4.1.2. Consumption Data 15 4.1.3. Preliminary Regression 15 4.2. The Liquidity Measure 16 4.3. The Consumption Measure 17 4.4. Sorting Portfolios and Selecting data 18 4.4.1. Sorting Portfolios 18 4.4.2. Selecting Data 18 4.5. CAPM and Fama-French Three Factors model 19 4.5.1. CAPM 19 4.5.2. Fama-French Three Factors model 20 CHAPTER 5. Empirical Results 21 5.1. The Empirical Results of Liquidity Risks 21 5.2. Small Firm Effect on REIT 26 5.3. The Empirical Results of Consumption 27 5.3.1. Consumption ratio 27 5.3.2. Non-service ratio 31 5.3.3. Service ratio 36 5.4. The Empirical Results of Liquidity-Adjusted CCAPM 39 5.4.1. The Liquidity-Adjusted CCAPM with Consumption Ratio 39 5.4.2. The Liquidity-Adjusted CCAPM with Non-Service Ratio 44 5.4.3. The Liquidity-Adjusted CCAPM with Service Ratio 48 CHAPTER 6. Conclusion 52 References541170913 bytesapplication/pdfen-US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 riskconsumption capital asset pricing model CCAPMliquidity costREITthesishttp://ntur.lib.ntu.edu.tw/bitstream/246246/50495/1/ntu-95-R93521703-1.pdf