Asset Classes
基于资产风险差异和投资者流动性需求差异的相互作用，提出资产流动性内生差异的理论，分析均衡中的类别结构及其对资产价格和周转率的影响。
This paper proposes a theory of endogenous differences in liquidity of assets based on the interaction between differences in the risk of assets and differences in liquidity needs of investors. An equilibrium of the model, which always exists and is unique, displays a class structure, where investors’ types sort themselves across different types of assets. I also provide a detailed analysis of the possible types of sorting and of the consequences for the cross-sectional properties of asset prices and their velocity. The framework can also be useful to think about what constitute a "light-to-liquidity" and a "safe asset".