The paper studies the effect liquidity risk of the on stock pricing base on multi-factor assets pricing model.

本文通过构造基于流动性风险的多因素定价模型，研究了流动性风险对证券均衡价格的影响。

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Firstly, basing on the microstructure of stock market of our country, this thesis analyzes the reason and course of liquidity risk, and constructs the risk index-loss value of price spread.

首先基于我国股票市场微观结构、交易制度的现实，分析了投资者进行股票交易时所面临的市场流动性风险产生的原因与过程，并构造了本文的市场流动性风险指标——价差损失值。

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When the funds is redeemed in a large scale, the liquidity risk of open-end funds will take place, which leads to a vicious circle between the funds redemption and the stock price decline.

一旦投资者预期发生变化，基金的大面积赎回可能导致开放式基金的流动性风险，并引发“基金赎回—股价下跌—赎回放大—股价进一步下跌”的恶性循环，从而影响金融稳定。

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For stockholders, exercising the stock early, before a liquidity event, adds risk.

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When positions and exposures cannot be determined rapidly--as was the case, for example, when program trades overwhelmed the system during the 1987 stock market crash--potential outcomes include highly risk-averse behavior by market participants, sharp declines in market liquidity, and high volatility in asset prices.

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