演講者簡介 : Professor Chen received his Ph.D. in Finance from University of Illinois at U-C in 1990. He is currently a Professor of Finance at Fordham University. His research fields are Liquidity Quantification, Credit Derivatives, Equilibrium Option Pricing, Real Options, Mortgage Backed Securities, and Term Structure of Interest Rates.
演講摘要 : In this paper, we use a large sample to construct a liquidity index to measure the severeness of lack of liquidity in the financial market. The index is computed based upon a liquidity discount model developed by Chen (2012) where asset values are discounted when lack of demand is detected in the marketplace. We choose a comprehensive sample of Russell 1000 financial stocks from January 1997 to July 2011 to construct the liquidity index which then can be used in conjunction with the popular Russel 1000 financial index. The empirical results reveal that as of July 2011, the liquidity has not been restored to the pre-crisis level, although various sectors demonstrate very different liquidity levels.
