Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets

• 成果类型: Article
• 署名作者: Longstaff, Francis A.
• 署名单位: University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.99.4.1119
• 发表日期: 2009
• 页码: 1119-1144
• 关键词: the-counter markets; incomplete markets; transaction costs; Liquidity premia; TREASURY STRIPS; equity premium; consumption; prices; RISK; equilibrium

摘要

Many classes of assets are illiquid or nonmarketable in that they cannot always be traded immediately. Thus, a portfolio position in these becomes at least temporarily irreversible. We study the asset-pricing implications of this type of illiquidity in an exchange economy with heterogeneous agents. In this market, one asset is always liquid. The other asset can be traded initially, but then not again. until after a blackout period. Illiquidity has a dramatic effect. Agents abandon diversification and choose polarized portfolios instead. The value of liquidity can represent a large portion of the equilibrium price of an asset. (JEL G11, G12)