Asset Classes
成果类型：
Article
署名作者：
Jacquet, Nicolas L.
署名单位：
Singapore Management University
刊物名称：
JOURNAL OF POLITICAL ECONOMY
ISSN/ISSBN：
0022-3808
DOI：
10.1086/712736
发表日期：
2021
页码：
1100-1156
关键词：
摘要：
This paper proposes a theory of endogenous differences in liquidity of assets based on the interaction between differences in their risk and differences in liquidity needs of agents. An equilibrium of the model displays a class structure, where agents sort themselves across different types of assets according to their types. High-liquidity-need agents hold on to safer portfolios than lower-liquidity-need agents whenever the variation in the value of liquidity across states raises the value of safe assets more than that of riskier assets, and vice versa. I also derive capital asset pricing model-like formulas for excess returns where the risk and liquidity premia are interdependent and specific to each type of agent.