Stochastic Interest Rates, Heterogeneous Valuations, and the Volatility-Volume Relation with Search Frictions
构建了一个含随机利率的动态均衡模型，其中投资者对同一资产估值不同并相互交易。模型揭示利率不确定性和投资者异质性是价格离散的关键，搜索强度提高会降低价格离散、增加成交量，导致负向的波动率-成交量关系。证据支持模型预测，表明搜索摩擦对波动率-成交量关系有重要影响。
Abstract We propose a dynamic equilibrium model with stochastic interest rates in which agents hold heterogeneous valuations for the same asset and take on positions against each other. The model shows that interest rate uncertainty and investor heterogeneity are key determinants of price dispersion. Higher search intensity reduces price dispersion, while raising volume, leading to a negative volatility-volume relation. The sensitivity of volatility to volume is high when liquidity is low, interest rate variations are high and investors’ valuations are more heterogeneous. Evidence supports our model’s predictions and shows that search frictions play an important role in driving the volatility-volume relation. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.