The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

• 成果类型: Article
• 署名作者: Buss, Adrian; Dumas, Bernard
• 署名单位: INSEAD Business School; Center for Economic & Policy Research (CEPR); University of Turin; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12744
• 发表日期: 2019
• 页码: 795-844
• 关键词: transaction costs; PORTFOLIO SELECTION; asset prices; presidential-address; Utility maximization; consumption; RISK; volatility; INVESTMENT; valuation

摘要

We incorporate trading fees into a dynamic, multiagent general-equilibrium model in which traders optimally decide when to trade. For that purpose, we propose an innovative algorithm that synchronizes the traders. Securities prices are not so much affected by the payment of the fees itself, but rather by the trade-off that the traders face between smoothing consumption and smoothing holdings. In calibrated examples, the interest rate and welfare decline with trading fees, while risk premia and volatilities increase. Liquidity risk and expected liquidity are priced, leading to deviations from the consumption-CAPM. With trading fees, capital is slow-moving, generating slow price reversal.