| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP8710 |
| DP8710 Pricing Liquidity Risk with Heterogeneous Investment Horizons | |
| Alessandro Beber; Joost Driessen; Patrick Tuijp | |
| 发表日期 | 2011-12-01 |
| 出版年 | 2011 |
| 语种 | 英语 |
| 摘要 | We develop a liquidity-based asset pricing model featuring investors with heterogeneous investment horizons and stochastic transaction costs. In an equilibrium where all investors invest in all assets (integration), we find that the existence of investors with heterogeneous horizons, as opposed to homogeneous horizons, reduces the importance of liquidity risk relative to the standard CAPM market risk and generates a more complex effect of expected liquidity. In an equilibrium where short-term investors do not invest in some more illiquid assets (partial segmentation), our model generates an additional segmentation premium for these assets. We estimate the model for the cross-section of U.S. stocks using GMM and find that our heterogeneous-horizon asset pricing model fares better than a standard liquidity-adjusted CAPM. The segmented version of our model delivers the best cross-sectional fit and generates a substantial effect of expected liquidity on expected returns. |
| 主题 | Financial Economics |
| 关键词 | Liquidity risk Investment horizon |
| URL | https://cepr.org/publications/dp8710 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/537545 |
| 推荐引用方式 GB/T 7714 | Alessandro Beber,Joost Driessen,Patrick Tuijp. DP8710 Pricing Liquidity Risk with Heterogeneous Investment Horizons. 2011. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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