Presidential Address: Liquidity and Price Discovery
指出资产定价模型忽略了市场微观结构中的流动性和价格发现，提出应纳入交易成本和风险，并构建了一个基于信息不对称的资产定价模型。
ABSTRACT This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and I argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information‐based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. I develop an asymmetric information asset pricing model that incorporates these effects.