Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
研究一种资产可交易但随后进入“禁售期”的非流动性对资产定价的影响，发现投资者放弃分散化而选择极端组合，且流动性价值占资产价格很大比重。
Many classes of assets are illiquid or nonmarketable in that they cannot always be traded immediately. Thus, a portfolio position in these becomes at least temporarily irreversible. We study the asset-pricing implications of this type of illiquidity in an exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again until after a “blackout” period. Illiquidity has a dramatic effect. Agents abandon diversification and choose polarized portfolios instead. The value of liquidity can represent a large portion of the equilibrium price of an asset.