資產價格與流動性

Abstract

本文主要研究金融商品在市場存在流動性及信用風險下的評價及其實證。第一部份，我研究投資人在有流動性風險及模型可能發生誤設情形下，其投資組合的選擇問題。本章有三個結論：第一、我得到在有流動性下最適的強健之投資組合(robust portfolio choice)。第二、顧客效果(clientele effect)會跟兩個跨期避險需求的抵換有關。第三、流動性可能解釋所謂的國內偏誤迷思(home bias puzzle)。 第二部分，我探討市場的買賣行為會影響股價之情形下選擇權的評價。買單和賣單對價格的影響程度表示為買單與賣單的流動性。從日內及每日交易資料中，我發現市場存在不對稱的流動性。透過選擇權的市場價格，我可以推測交易者對未來股票市場活動及流動性的預期。從次貸危機及恐怖攻擊事件中，我發現在事件發生當日，從指數選擇權價格可預期股票市場交易活動將增加、未來流動性的不對稱情形也會明顯增加。 第三部分，我分析信用違約交換買價與賣價的動態行為。信用違約交換市場存在搜尋成本、存貨風險、私人資訊及逆選擇等流動性的風險。透過一個違約風險因子、兩個流動性風險因子及三個相關係數，我捕捉信用風險與私人資訊、逆選擇及存貨變動等三種流動性風險間之互動關係。從2008年美國市場利率指標及主要公司的信用違約交換的買賣價之走勢，我發現以下幾點事實。第一、短期利率(LIBOR)相對於中長期利率難以捕捉，而市場預期利率短期內仍有下調空間。第二、信用評等低的公司存在較高的私人資訊風險。第三、非金融公司的信用違約交換較可能出現交易對手違約的逆選擇風險。第四、不論金融公司、非金融公司、高評等或低評等公司都存在不對稱的存貨風險。第五、高評等的非金融公司在違約機率上升時會有較好的流動性。

This thesis studies financial asset pricing issues with market liquidity and credit risks from both theoretical and empirical perspectives. It respectively consists of three independent essays on portfolio choice, option valuation, and the bid/ask price dynamics of credit default swaps (CDS), with the main thread of the three articles being the topic of “asset prices and liquidity.” In the first essay I investigate the robust portfolio rule in the present of illiquidity. When the agent faces trading liquidity risk and fears about the model may be misspecified, he desires a robust portfolio choice under illiquid environments. This paper contributes in three aspects. First, I derive the optimal robust portfolio choice under illiquidity. Second, I find the clientele effect, whereby the buy-and-hold investors prefer to invest in illiquid assets, depends on two trade-off intertemporal hedging demands. Third, I provide another explanation of “home bias puzzle” based on the insufficient liquidity risk premium to attract investors in foreign stock markets. The second essay explores the stock price process induced by market price impacts from random arrivals of buy orders and sell orders. I develop an option pricing model with liquidity risk and volatility risk in either a one asset or multi-asset framework. Empirically, I find that the buy-order induced price impacts are smaller than the sell-order driven price impacts on average both in intraday and daily stock markets, i.e., the so-called “asymmetric liquidity.” In the event studies of the housing subprime crisis and the terrorist attack, the result shows that the option prices on the event days imply that the market expects high trading activities in stock markets and large asymmetric liquidity in the future. I analyze the interaction between credit risk and liquidity risk from the bid and ask prices in CDS markets in the third essay. Using the CDS data during the global financial tsunami in 2008, several facts are worth highlighting here. First, the short-term rate is relatively hard to calibrate comparing with medium-term and long-term swap rates. In addition, the market anticipates an advanced interest-rate cut in the future. Second, low-rated firms generally inherit higher private information risk, which is one source of liquidity risk. Third, CDS for non-financials have more persistent counterparty default risks. Fourth, traders in different classes have distinct inventory considerations, but the result shows that inventory risk is asymmetric in all classes. Fifth, the increase in CDS premium accompanies a decrease in the bid-ask spread for high-rated non-financials based on sample statistics and model prediction.