Asset trading, transaction costs and the equity premium
通过区分总回报和净回报，在Mehra-Prescott模型中引入买卖价差，模拟出3-4%的股权溢价，接近历史水平，并用GMM估计买卖价差，检验了过度识别约束。
A model is developed that attempts to explain the historical size of the US equity premium by distinguishing between gross and net returns accruing to agents. The model derived by Mehra and Prescott (1985) is augmented with a bid–ask spread, calibrated and simulated. Equity premia in the order of 3–4% are generated for plausible values of the transactions parameters. This contrasts with Mehra and Prescott, who find a maximum equity premium of 0.4% while the historic equity premium has been about 6.2%. Estimates of the bid–ask spread are obtained using GMM and tests of the overidentifying restrictions are not rejected for several lists of instrumental variables.