The Shadow Costs of Illiquidity
通过一个灵活模型，分析交易成本和交易机会频率对非流动性资产隐性成本的影响，发现限制消费的非流动性成本高，而仅导致次优资产配置的成本低，对短期投资者和面临流动性冲击的投资者尤为显著。
Abstract We solve a flexible model that captures transactions costs and infrequencies of trading opportunities for illiquid assets to better understand the shadow costs of illiquidity for different origins of asset illiquidity and heterogeneous investor types. We show that illiquidity that results in suboptimal asset allocation carries low shadow costs, whereas these costs are high when illiquidity restricts consumption. As a result, the shadow costs are high for short-term investors, investors who face substantial liquidity shocks, and investors who desire to allocate a large fraction of their wealth to illiquid assets.