Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
证明在Lucas资产定价模型中，异质性代理人之间的股票交易量通常为零，期末投资组合恒定，与投资组合再平衡产生交易量的预测相反，暗示高交易量需其他原因。
Abstract Trading volume of infinitely lived securities, such as equity, is generically zero in Lucas asset pricing models with heterogeneous agents. More generally, the end‐of‐period portfolio of all securities is constant over time and states in the generic economy. General equilibrium restrictions rule out trading of equity after an initial period. This result contrasts the prediction of portfolio allocation analyses that portfolio rebalancing motives produce nontrivial trade volume. Therefore, other causes of trade must be present in asset markets with large trading volume.