Equilibrium Asset Pricing with Transaction Costs
研究了异质性投资者在二次交易成本下进行风险分担的经济，通过非线性随机微分方程刻画均衡资产价格和交易策略，发现交易成本与波动率正相关，解释了流动性折价和溢价。
Abstract We study risk-sharing economies where heterogeneous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully coupled forward–backward stochastic differential equations. We show that a unique solution exists provided that the agents’ preferences are sufficiently similar. In a benchmark specification with linear state dynamics, the empirically observed illiquidity discounts and liquidity premia correspond to a positive relationship between transaction costs and volatility.