Transaction Costs and Asset Prices: A Dynamic Equilibrium model
构建一个动态均衡模型，研究交易成本对股票价格和换手率的影响，发现交易成本对价格影响很小但对换手率影响很大，且股票价格可能随交易成本上升而上涨。
In this article we study the effects of transaction costs on asset prices. We assume an overlapping generations economy with a riskless, liquid bond, and many risky stocks carrying proportional transaction costs. We obtain stock prices and turnover in closed form. Surprisingly, a stock's price may increase in transaction costs, and a more frequently traded stock may be less adversely affected by an increase in transaction costs. Calculations based on the 'marginal' investor overestimate the effects of transaction costs. For realistic parameter values, transaction costs have very small effects on stock prices but large effects on turnover.