Asset Pricing in Economies with Frictions
研究比例交易成本、卖空限制和保证金要求如何影响基于资产收益数据对跨期边际替代率（IMRS）的推断，发现即使很小的交易成本也能大幅降低所需IMRS的波动性，从而缓解消费基础资产定价模型与数据之间的矛盾。
This paper examines how proportional transaction costs, short-sale constraints, and margin requirements affect inferences based on asset return data about intertemporal marginal rates of substitution (IMRSs). It is shown that small transaction costs can greatly reduce the required variability of IMRSs. This suggests that the low variability of many parametric, aggregate consumption based IMRSs need not be inconsistent with asset return data. Euler inequalities for a transaction cost economy with power utility are tested using aggregate consumption data and returns on stocks and short maturity U.S. Treasury bills. In the majority of cases there is little evidence against power utility specifications with low risk-aversion parameters. The results are obtained with transaction costs on stocks as small as .5% of price, and are in sharp contrast to the strong rejection of the analogous Euler equalities for a frictionless economy.