| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w8311 |
| 来源ID | Working Paper 8311 |
| Asset Prices and Trading Volume Under Fixed Transactions Costs | |
| Andrew W. Lo; Harry Mamaysky; Jiang Wang | |
| 发表日期 | 2001-05-01 |
| 出版年 | 2001 |
| 语种 | 英语 |
| 摘要 | We propose a dynamic equilibrium model of asset prices and trading volume with heterogeneous agents facing fixed transactions costs. We show that even small fixed costs can give rise to large 'no-trade' regions for each agent's optimal trading policy and a significant illiquidity discount in asset prices. We perform a calibration exercise to illustrate the empirical relevance of our model for aggregate data. Our model also has implications for the dynamics of order flow, bid/ask spreads, market depth, the allocation of trading costs between buyers and sellers, and other aspects of market microstructure, including a square-root power law between trading volume and fixed costs which we confirm using historical US stock market data from 1993 to 1997. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w8311 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/565909 |
| 推荐引用方式 GB/T 7714 | Andrew W. Lo,Harry Mamaysky,Jiang Wang. Asset Prices and Trading Volume Under Fixed Transactions Costs. 2001. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w8311.pdf（2767KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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