Market Frictions and Consumption-Based Asset Pricing
检验市场摩擦（如卖空限制、借贷约束、偿付能力限制和交易成本）能否解释以往研究中消费与资产回报数据违背跨期边际替代率均衡条件的问题。
A fundamental equilibrium condition underlying most utility-based asset pricing models is the equilibration of intertemporal marginal rates of substitution. Previous empirical research, however, has found that the comovements of consumption and asset return data fail to satisfy the restrictions imposed by this equilibrium condition. In this paper, the authors examine whether market frictions can explain previous findings. Their results suggest that a combination of short-sale, borrowing, solvency, and trading cost frictions can drive a large enough wedge between intertemporal marginal rates of substitution so that the apparent violations may not be inconsistent with market equilibrium. Copyright 1995 by University of Chicago Press.