The Asset Pricing Effects of Fixed Holding Costs: An Upper Bound
研究持有资产的固定成本对资产定价的影响，推导出一个适用于连续时间的一般上界，并通过计算表明需要很大的持有成本才能产生显著的定价效应。
The Capital Asset Pricing Model predicts that investors will hold diversified portfolios, but many households actually hold very few assets. The paper examines the asset pricing implications of one possible explanation for this phenomenon, fixed costs of holding assets. While earlier authors found the exact asset pricing effects of such costs in single-period models under restrictive assumptions, I derive a general upper bound on these effects that is also valid in continuous time. Illustrative calculations reveal that large holding costs must be postulated to generate significant asset pricing effects.