Pricing Liquidity Risk with Heterogeneous Investment Horizons
构建了一个包含随机交易成本和异质投资期限的资产定价模型，发现流动性溢价和分割效应能很好解释美国股票横截面收益，而流动性风险溢价较小。
Abstract We develop an asset pricing model with stochastic transaction costs and investors with heterogeneous horizons. Depending on their horizon, investors hold different sets of assets in equilibrium. This generates segmentation and spillover effects for expected returns, where the liquidity (risk) premium of illiquid assets is determined by investor horizons and the correlation between liquid and illiquid asset returns. We estimate our model for the cross-section of U.S. stock returns and find that it generates a good fit, mainly due to a combination of a substantial expected liquidity premium and segmentation effects, while the liquidity risk premium is small.