Equilibrium asset pricing with transaction costs

被引：5
|
作者：
Herdegen, Martin [1 ]
Muhle-Karbe, Johannes [2 ]
Possamai, Dylan [3 ]
机构：
[1] Univ Warwick, Dept Stat, Coventry CV4 7AL, W Midlands, England
[2] Imperial Coll London, Dept Math, London SW7 1NE, England
[3] Swiss Fed Inst Technol, Dept Math, Ramistr 101, CH-8092 Zurich, Switzerland
来源：
FINANCE AND STOCHASTICS | 2021年 / 25卷 / 02期
关键词：
Asset pricing; Radner equilibrium; Transaction costs; Forward-backward SDEs; MARKET EQUILIBRIUM; QUADRATIC BSDES; TRADING VOLUME; VOLATILITY; EXISTENCE; EQUATIONS; RETURNS; PRICES; RISK; SDES;
D O I：
10.1007/s00780-021-00449-4
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We study risk-sharing economies where heterogeneous agents trade subject to quadratic transaction costs. The corresponding equilibrium asset prices and trading strategies are characterised by a system of nonlinear, fully coupled forward-backward stochastic differential equations. We show that a unique solution exists provided that the agents' preferences are sufficiently similar. In a benchmark specification with linear state dynamics, the empirically observed illiquidity discounts and liquidity premia correspond to a positive relationship between transaction costs and volatility.
引用
收藏
页码：231 / 275
页数：45
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