Information vs. Entry Costs: What Explains U.S. Stock Market Evolution?
研究股票市场参与成本的下降能否解释美国股东数量的长期增长，将成本分为信息成本和进入成本，发现进入成本下降能解释参与率上升、股权溢价下降、回报方差上升及被动投资繁荣等现象。
Abstract I investigate whether changes in stock market participation costs can explain the long-term increase in the number of U.S. stockholders. I separate these costs into two components: an information cost (the cost of collecting market information), and an entry cost (all other costs, including commissions and fees), and disentangle their general equilibrium implications in a noisy rational expectations economy. While a falling information cost cannot explain the observed increase in stock market participation, a falling entry cost can account for this plus several other features of the U.S. economy, including the falling equity premium, rising return variances, and the boom in passive relative to active investing.