Asset pricing in economies with frictions
Asset pricing in economies with frictions
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存在摩擦的经济体中的资产定价
DOI：
10.2307/2171838
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发表时间：
1996
期刊：
影响因子：
6.1
通讯作者：
Erzo G. J. Luttmer
中科院分区：
文献类型：
--
作者：
Erzo G. J. Luttmer
本文探讨了比例交易成本，卖空限制，保证金要求如何影响推断的基础上资产回报率数据的跨期玛格丽特替代率（IMRS）。小交易成本大大降低了所需的可变性的IMRS，这表明，许多参数的低可变性，总消费为基础的IMRS不需要与资产回报数据不一致。欧拉不等式的交易成本经济与电力公用事业的总消费数据和回报率的股票和美国国库券进行了测试。在大多数情况下，几乎没有证据反对电力公司的规格与低风险规避参数。版权所有1996年由计量经济学会。
This paper examines how proportional transaction costs, short-sale constraints, and margin requirements affect inferences based on asset return data about intertemporal marganil rates of substitution (IMRSs). Small transaction costs greatly reduce the required variability of IMRSs, suggesting that the low variability of many parametric, aggregate consumption based IMRSs need not be inconsistent with asset return data. Euler inequalities for a transaction cost economy with power utility are tested using aggregate consumption data and returns on stocks and U.S. Treasury bills. In the majority of cases, there is little evidence against power utility specifications with a low risk-aversion parameter. Copyright 1996 by The Econometric Society.