Research On Several Issues Of Liquidity Asset Pricing

The business activities of enterprises cannot do without liquidity. Regardless of procurement, production, sales and other business links, or investment in new projects, distribution of profits to the shareholders and repayment of the debt principal and interest, all of them need a lot of liquidity. As the lubricant of enterprises'business activities, liquidity is necessary to ensure the normal oper-ation of enterprises. As ongoing entities, firms are concerned that they may in the future be deprived of the funds that would enable them to take advantage of exciting growth prospects, strengthen existing investments, or simply stay alive. Therefore enterprises must hold a certain amount of liquid assets to meet their investment needs. However, it should be noted that holding cash and other liquid assets is not without cost. For example, the yield of liquid assets is relatively low, easy to be used by agents to seek private interests, sometimes facing a double burden, and so on. So. how much are liquid assets worth for enterprises? How to price the liquid assets? What factors will affect the price of liquid assets? Such problems have been hot issues of the academic research, and analysis and answers about these problems own very important practical significance.This article makes a deep exploration on liquidity asset pricing problem by combining with theoretical analysis and econometric methods. In terms of theo-retical research, comprehensively using of finance, game theory, contract theory, corporate finance and other economic theory. This paper introduces imperfectly related liquidity shocks and enterprises'growth based on liquidity asset pricing model established by Holmstrom and Tirole (2001) and Tirole (2006). solves the second best financing contract through the mathematical model and theoretical derivation, and examines the influence of supply, imperfectly related liquidity shocks and growth on the value and price of liquidity asset. Finally, intuitively shows the theoretical conclusions by numerical simulation. In terms of empirical research, the theoretical results are verified through panel econometric analysis method, using the classic enterprise value regression model built by Fama and French (1998). Where, the data is derived from Chinese listed companies.The theoretical research results show that the equilibrium price of liquid assets is not only related to the supply in the economy, but also related to imper-fectly correlation of liquidity shocks and enterprises'growth. For the relationship between imperfectly related liquidity shocks and the equilibrium price of liquid assets, when the supply of liquid assets is relatively large, the latter has nothing to do with probability of perfectly related liquidity shocks, and the equilibrium price of liquid assets is less than its value; when the supply of liquid assets is rela-tively scarce, the equilibrium price of liquid assets is equal to the value of holding them, and the value of liquid assets increases with the increasing in probability of perfectly related liquidity shocks. In case of the relationship between growth and the equilibrium price of liquid assets. when liquidity supply is greater than the maximum demand, the price will not be influenced by growth, and equal to 1; when liquidity supply is relatively big and less than the maximum demand, the equilibrium price of liquid assets would be less than its value, and negatively correlated with growth; when the supply is relatively scarce, the equilibrium price of liquid assets may be equal to the value of themselves, and the value would be positively correlated with growth. Empirical results show that growth has a sig-nificant effect on the value of liquidity asset, and the value of liquid assets holding by high growth enterprises is higher, compared with low growth enterprises.