我国公司债券市场流动性溢价实证研究.pdf

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1、4.2实证结果···············································································394.2.1月度时间区间··································································394.2.2季度时间区间··································································424.2.3不同交易场所··········································

2、························434.3本章小结···············································································465基于水平和风险双重效应的公司债券流动性溢价···································475.1资产定价模型·········································································475.2数据和变量说明································

3、······································485.2.1数据··············································································485.2.2模型变量········································································495.3流动性衡量基于低频数据实证结果··············································505.3.1基于多维度流动性衡量········

4、··············································505.3.2基于单维度流动性衡量······················································515.4流动性衡量基于高频数据实证结果··············································525.4.1基于多维度流动性衡量······················································525.4.2基于单维度流动性衡量····························

5、··························535.4.3考虑流动性水平·······························································545.4.4流动性溢价及其变化特征···················································555.5本章小结···············································································576总结··································

6、···························································59参考文献··························································································61附录1R语言程序··············································································64附录2论文发表和参与的课题·········································

7、····················152致谢····························································································153IIContents1Introduction·······························································