Liquidity Premia and Transaction Costs
发现，当投资机会集随时间变化时，交易成本对流动性溢价有一阶影响，但即使考虑合理参数，交易成本仍无法完全解释股权溢价之谜。
ABSTRACT Standard literature concludes that transaction costs only have a second‐order effect on liquidity premia. We show that this conclusion depends crucially on the assumption of a constant investment opportunity set. In a regime‐switching model in which the investment opportunity set varies over time, we explicitly characterize the optimal consumption and investment strategy. In contrast to the standard literature, we find that transaction costs can have a first‐order effect on liquidity premia. However, with reasonably calibrated parameters, the presence of transaction costs still cannot fully explain the equity premium puzzle.