Trading Costs, Liquidity, and Asset Holdings
构建了一个模型，解释流动性交易者的优化行为如何导致不同资产市场交易成本相互关联，并说明噪声交易是资产市场流动性的重要决定因素，为风险中性的流动性交易者分散持有资产提供了理论依据。
In this article I develop a model that accounts for interdependence between trading costs in various asset markets arising from the optimizing behavior of liquidity traders. The model suggests that noise trading is an important determinant of the liquidity of asset markets and provides a positive theory for diversified asset holding by risk-neutral liquidity traders. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.