Explaining the Magnitude of Liquidity Premia: The Roles of Return Predictability, Wealth Shocks, and State-Dependent Transaction Costs
成果类型：
Article
署名作者：
Lynch, Anthony W.; Tan, Sinan
署名单位：
New York University; Fordham University
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/j.1540-6261.2011.01662.x
发表日期：
2011
页码：
1329-1368
关键词：
摘要：
Constantinides (1986) documents how the impact of transaction costs on per-annum liquidity premia in the standard dynamic allocation problem with i.i.d. returns is an order of magnitude smaller than the cost rate itself. Recent papers form portfolios sorted on liquidity measures and find spreads in expected per-annum return that are the same order of magnitude as the transaction cost spread. When we allow returns to be predictable and introduce wealth shocks calibrated to labor income, transaction costs are able to produce per-annum liquidity premia that are the same order of magnitude as the transaction cost spread.