Market Frictions and Consumption-Based Asset Pricing
Market Frictions and Consumption-Based Asset Pricing
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市场摩擦和基于消费的资产定价
DOI：
10.1086/261977
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发表时间：
1995
影响因子：
8.2
通讯作者：
D. Modest
中科院分区：
文献类型：
--
作者：
Hua He;D. Modest
大多数基于效用的资产定价模型的基本均衡条件是跨期边际替代率（IMRS）的均衡。然而，以往的实证研究发现，消费和资产回报数据的变动不满足这一均衡条件的限制。在本文中，我们检验了市场摩擦是否可以解释先前的研究结果。我们的研究结果表明，卖空、借贷、偿付能力和交易成本摩擦的组合可以在IMRS之间形成足够大的楔子，从而使明显的违规行为可能不会与市场均衡不一致。
A fundamental equilibrium condition underlying most utility-based asset pricing models is the equilibration of intertemporal marginal rates of substitution (IMRS). Previous empirical research, however, has found that the comovements of consumption and asset return data fail to satisfy the restrictions imposed by this equilibrium condition. In this paper, we examine whether market frictions can explain previous findings. Our results suggest that a combination of short-sale, borrowing, solvency, and trading cost frictions can drive a large enough wedge between IMRS so that the apparent violations may not be inconsistent with market equilibrium.
市场参与不完全、劳动力收入冲击与资产价格
DOI：
--
发表时间：
2007
期刊：
SSRN working paper series 1015769
影响因子：
--
作者：
Hiroaki OHNO;Hiroaki OHNO;大野弘明;Hiroaki OHNO
通讯作者：
Hiroaki OHNO