Asset Prices and Trading Volume under Fixed Transactions Costs
构建了一个动态均衡模型，研究投资者面临固定交易成本时资产价格与交易量的变化，发现即使很小的固定成本也会导致较大的“不交易”区间，并产生显著的流动性折价。
We propose a dynamic equilibrium model of asset prices and trading volume when agents face fixed transactions costs. We show that even small fixed costs can give rise to large "no‐trade" regions for each agent's optimal trading policy. The inability to trade more frequently reduces the agents' asset demand and in equilibrium gives rise to a significant illiquidity discount in asset prices.