Pricing Liquidity Risk with Heterogeneous Investment Horizons

被引：17

作者：

Beber, Alessandro ^{[1
,2
]}

Driessen, Joost ^{[3
]}

Neuberger, Anthony ^{[4
]}

Tuijp, Patrick ^{[5
,6
]}

机构：

[1] BlackRock, New York, NY USA

[2] Ctr Econ & Policy Res CEPR, London, England

[3] Tilburg Univ, Tilburg, Netherlands

[4] City Univ London, Cass Business Sch, London, England

[5] Ortec Finance, Rotterdam, Netherlands

[6] Univ Amsterdam, Amsterdam, Netherlands

来源：

JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS | 2021年 / 56卷 / 02期

关键词：

D O I：

10.1017/S0022109020000137

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We develop an asset pricing model with stochastic transaction costs and investors with heterogeneous horizons. Depending on their horizon, investors hold different sets of assets in equilibrium. This generates segmentation and spillover effects for expected returns, where the liquidity (risk) premium of illiquid assets is determined by investor horizons and the correlation between liquid and illiquid asset returns. We estimate our model for the cross-section of U.S. stock returns and find that it generates a good fit, mainly due to a combination of a substantial expected liquidity premium and segmentation effects, while the liquidity risk premium is small.

引用

页码：373 / 408

页数：36

共 43 条

[1] Liquidity risk of corporate bond returns: conditional approach [J].