استفاده از اختلاف قیمت پیشنهادی خرید و فروش به عنوان پراکسی برای هزینه معاملاتی در تعدیل مدل قیمت‌گذاری دارایی سرمایه‌ای مبتنی بر مصرف

محورهای موضوعی : مهندسی مالی

صدیقه علیزاده ¹ (گروه اقتصاد، دانشکده اقتصاد و مدیریت، دانشگاه سیستان و بلوچستان، زاهدان ایران)
محمد نبی شهیکی تاش ² (گروه اقتصاد دانشکده اقتصاد و مدیریت دانشگاه سیستان و بلوچستان-زاهدان-ایران)
رضا روشن ³ (گروه اقتصاد، دانشکده ادبیات و علوم انسانی دانشگاه خلیج فارس، بوشهر، ایران)

تاریخ دریافت : 1399/01/06 تاریخ پذیرش : 1399/02/05 تاریخ انتشار : 1399/07/01

کلید واژه: ریسک نقدشوندگی, CCAPM سنتی, CCAPM تعدیل شده با نقدشونگی, اختلاف قیمت پیشنهادی خرید و فروش,

چکیده مقاله :

هدف این مطالعه برآورد معیار اختلاف قیمت پیشنهادی خرید و فروش با استفاده از داده‌های روزانه و به کاربردن این معیار به عنوان پراکسی برای هزینه‌های معاملاتی است. در ادامه با استفاده از این نوع هزینه‌های معاملاتی و ریسک نقدشوندگی به تعدیل مدل قیمت‌گذاری دارایی سرمایه‌ای مبتنی بر مصرف پرداخته می‌شود. به منظور انجام آزمون‌های تجربی، داده‌های روزانه از 47 شرکت پذیرفته شده در بورس اوراق بهادار تهران و برای دوره 1388 تا 1396 جمع‌آوری می‌گردد. پژوهش مبتنی بر بیست پرتفوی است؛ که براساس معیارهای نقدشوندگی لئو، حجم معاملات، اندازه و گیبس ساخته می‌شود. نتایج این مطالعه نشان می‌دهد که مدل قیمت گذاری دارایی سرمایه‌ای مبتنی بر مصرف سنتی عملکرد ضعیفی در توضیح بازدهی سهام مقطعی دارد و مدل CCAPM تعدیل یافته نسبت به مدل سنتی بخش بزرگتری از تغییرات بازدهی را توضیح می‌دهد. همچنین نتایج نشان می‌دهد که ورود متغیرهای هزینه معاملاتی و ریسک نقدشوندگی منجر بهبود عملکرد مدل CCAPM می‌شود.

چکیده انگلیسی:

This study aims to estimate the bid-ask spread criterion based on the daily highest and lowest prices and to imply this criterion as a proxy for transaction costs. Then, using this type of transaction costs and liquidity, the consumption-based capital asset pricing model is modified. To perform experimental tests. Daily data is collected from 47 companies accepted on the Tehran Stock Exchange and for the period 2009 to 2018. This study is carried out on 20 portfolios formed based on liquidity criteria Liu (2006), DVOL, Size, and Gibbs. The results of this study show that the capital asset pricing model based on traditional consumption has a poor performance in explaining the return on cross-sectional stocks and liquidity-adjusted CCAPM can explain the bigger portion of cross-sectional return changes compared to the traditional CCAPM model. Also, the results show that the entry of trading cost variables and liquidity risk leads to improved CCAPM.

منابع و مأخذ:

 [1] Acharya, V.V., Pedersen, L.H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics,77,375-410      .                                                                                                                                                               [2]Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Market,. 5,31–56                                                                                                                                                            [3]Amihud, Y., Mendelson, H., (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17, 223–249.

[4] Breeden, D.T., Litzenberger, R.H. (1978). Prices of state-contingent claims implicit in option prices”, Journal of Business, 621-561.

 [5] Brennan, M. J.,  Subrahmanyam, A. (1996). Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns. Journal of Financial Economics, 41(3),441-464.

[6] Buss, A., Dumas, B., (2013). The equilibrium dynamics of liquidity and illiquid asset prices. Working Paper

[7] Chor.dia, T., Roll, R,. & Subrahmanyam, A. (2000). Commonality in Liquidity. Journal of Financial Economics, 56(1),3-28.

[8] Chordia, T., Roll, R., Subrahmanyam, A., (2000). Commonality in liquidity. Journal of Financial Economics 56, 3–28.

[9] Cochrane, J. H. (2005). Asset Pricing, Revised Edition. (Princeton, NJ: Princeton University Press).

[10] Corwin, S.A., Schultz, P. (2012). A simple way to estimate bid-ask spreads from daily high and low prices. Journal of Finance, 67, 719–760.

[11] Friend, I., Westerfield, R., (1980). Co-skewness and capital asset pricing. Journal of Finance 35, 897–913.

[12] Gârleanu, N., Pedersen, L.H., (2013). Dynamic trading with predictable returns and transaction costs. Journal of Finance 68, 2309–2340.

[13] Ghalibaf, H., Pourfard, SH. (2017). Government Policy and exploitation of entrepreneurial opportunities, quarterly journal of fiscal and Economic policies. 4 (16), 29-65                                                       [14] George, T., Kaul, G. and M. Nimalendran, (1991), Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, 623-656.

[15] Hasbrouck, J. (2004), “. Liquidity in the futures pits: inferring market dynamics from incomplete data” , Journal of Financial and Quantitative Analysis, 39(2), 305-326

[16] Hasbrouck, J. (2009), “Trading costs and returns for U.S. equities: estimating effective costs from daily data”, Journal of Finance, 64(3), 1445–1477

[17] Jones, C.M., 2001. A century of stock market liquidity and trading costs. Working Paper. Graduate School of Business, Columbia University                                                                                                                                

[18]Kim, V.,Na, H. (2017). Higher-momen.t liquidity risks and the cross-section of stock returns, Journal of Financial Markets, 38(2018), 39-59.

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[20] Lettau, M., Ludvigson, S. (2001). Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. Journal of Political Economy, 109, 1238– 1287.

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[22] Liu, W., Luo D., & Zhao H. (2015). Transaction costs, liquidity risk, and the CCAPM. Journal of Banking & Finance, 63 (2016), 126–145.

[23] Liu, W., Strong, N., (2008). Biases in Decomposing Holding-Period Portfolio Returns. The Review of Financial Studies. 21(5), 2243-2274.

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[27] Petkova, R. (2006). Do the Fama-French Factors Proxy for Innoations in Predictive Variables? Journal of Finance, 61(2),581-612.

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[1] Acharya, V.V., Pedersen, L.H. (2005). Asset pricing with liquidity risk. Journal of Financial Economics,77,375-410      .                                                                                                                                                               [2]Amihud, Y. (2002). Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Market,. 5,31–56                                                                                                                                                            [3]Amihud, Y., Mendelson, H., (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17, 223–249.

[10] Corwin, S.A., Schultz, P. (2012). A simple way to estimate bid-ask spreads from daily high and low prices. Journal of Finance, 67, 719–760.

[11] Friend, I., Westerfield, R., (1980). Co-skewness and capital asset pricing. Journal of Finance 35, 897–913.

[12] Gârleanu, N., Pedersen, L.H., (2013). Dynamic trading with predictable returns and transaction costs. Journal of Finance 68, 2309–2340.

[13] Ghalibaf, H., Pourfard, SH. (2017). Government Policy and exploitation of entrepreneurial opportunities, quarterly journal of fiscal and Economic policies. 4 (16), 29-65                                                       [14] George, T., Kaul, G. and M. Nimalendran, (1991), Estimation of the bid-ask spread and its components: A new approach, Review of Financial Studies 4, 623-656.

[15] Hasbrouck, J. (2004), “. Liquidity in the futures pits: inferring market dynamics from incomplete data” , Journal of Financial and Quantitative Analysis, 39(2), 305-326

[16] Hasbrouck, J. (2009), “Trading costs and returns for U.S. equities: estimating effective costs from daily data”, Journal of Finance, 64(3), 1445–1477

[17] Jones, C.M., 2001. A century of stock market liquidity and trading costs. Working Paper. Graduate School of Business, Columbia University                                                                                                                                 

[18]Kim, V.,Na, H. (2017). Higher-momen.t liquidity risks and the cross-section of stock returns, Journal of Financial Markets, 38(2018), 39-59.

[19] Lesmond, David, Joseph Ogden, and Charles Trzcinka, (1999), A new estimate of transactions costs, Review of Financial Studies 12, 1113-1141.

[20] Lettau, M., Ludvigson, S. (2001). Resurrecting the (C)CAPM: a cross-sectional test when risk premia are time-varying. Journal of Political Economy, 109, 1238– 1287.

[21] Liu, W. (2006). A liquidity augmented capital asset pricing model. Journal of financial Economics, 82, 631–671.

[22] Liu, W., Luo D., & Zhao H. (2015). Transaction costs, liquidity risk, and the CCAPM. Journal of Banking & Finance, 63 (2016), 126–145.

[23] Liu, W., Strong, N., (2008). Biases in Decomposing Holding-Period Portfolio Returns. The Review of Financial Studies. 21(5), 2243-2274.

[24]Lo, A.W., Mamaysky, H. and Wang, J. (2004), “Asset prices and trading volume under fixed transactions costs”,  Journal of Political Economy, 112, 1054-1090

[25] Márquez, E., Nieto, B., Rubio, G., (2014). Stock returns with consumption and illiquidity risks. International Review of Economics and Finance 29, 57–74.

[26] Pastor, L., Stambaugh, R.F. (2003). Liquidity risk  and expected stock returns. Journal of Political Economy, 111, 642–685.

[27] Petkova, R. (2006). Do the Fama-French Factors Proxy for Innoations in Predictive Variables? Journal of Finance, 61(2),581-612.

[28] Roll, R., (1984), A simple implicit measure of the effective bid-ask spread in an efficient market, Journal of Finance 39, 127-1139.

[29] Rubinstein, M., (1976). The valuation of uncertain income streams and the pricing of options. Bell Journal of Economics and Management Science 7, 407–425.

[30] Sadka, R. (2006). Momentum and Post-Earnings-Announcement Drift Anomalies: The Role of Liquidity Risk. Journal of Financial Economics, 80(2),309-349.

[31] Sharpe, W., (1964). Capital asset prices: a theory of market equilibrium under conditions of risk. Journal of Finance 19, 425–442.

[32]Yogo, M. (2006). A consumption-based explanation of expected stock returns. Journal of Finance, 61, 539–580.

[33] Guiyuan, M., Chi Chung, S. and Soong-ping Z. (2019). Dynamic portfolio choice with return predictability and transaction costs, European Journal of Operational Research.(278)3, 967-988.

[34] Fama, E.F., French, K.R., 2008. Dissecting anomalies. Journal of Finance, 63, 1653– 1678.

[4] Breeden, D.T., Litzenberger, R.H. (1978). Prices of state-contingent claims implicit in option prices”, Journal of Business, 621-561.

 [5] Brennan, M. J.,  Subrahmanyam, A. (1996). Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns. Journal of Financial Economics, 41(3),441-464.

[6] Buss, A., Dumas, B., (2013). The equilibrium dynamics of liquidity and illiquid asset prices. Working Paper

[7] Chor.dia, T., Roll, R,. & Subrahmanyam, A. (2000). Commonality in Liquidity. Journal of Financial Economics, 56(1),3-28.

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