Asset prices and liquidity in an exchange economy

被引：101
|
作者：
Lagos, Ricardo [1 ]
机构：
[1] NYU, New York, NY 10003 USA
来源：
JOURNAL OF MONETARY ECONOMICS | 2010年 / 57卷 / 08期
关键词：
EQUITY PREMIUM; TRANSACTION POLICY; SEARCH; RISK; MARKETS; MONEY; GOVERNMENT; RETURNS;
D O I：
10.1016/j.jmoneco.2010.10.006
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
An asset-pricing model is developed in which financial assets are valued for their liquidity-the extent to which they are useful in facilitating exchange as well as for being claims to streams of consumption goods The theory is used to study the implications of this liquidity channel for average asset returns the equity-premium puzzle and the risk-free rate puzzle (C) 2010 Elsevier B V All rights reserved
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页码：913 / 930
页数：18
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