The Epstein–Zin Model with Liquidity Extension
将流动性风险引入Epstein-Zin模型，发现流动性是显著的风险因子，新模型比传统消费定价模型和原Epstein-Zin模型有更高的截面R²和更小的Hansen-Jagannathan距离。
Abstract In this paper, we extend the Epstein–Zin model with liquidity risk and assess the extended model's performance against the traditional consumption pricing models. We show that liquidity is a significant risk factor, and it adds considerable explanatory power to the model. The liquidity‐extended model produces both a higher cross‐sectional R 2 and a smaller Hansen and Jagannathan distance than the traditional consumption‐based capital‐asset pricing model and the original Epstein–Zin model. Overall, we show that liquidity is both a priced factor and a key contributor to the extended Epstein–Zin model's goodness‐of‐fit.