Asset Pricing in Economies with Frictions
存在摩擦的经济中的资产定价
This paper examines how proportional transaction costs, short-sale constraints, and margin requirements affect inferences based on asset return data about intertemporal marganil rates of substitution (IMRSs). Small transaction costs greatly reduce the required variability of IMRSs, suggesting that the low variability of many parametric, aggregate consumption based IMRSs need not be inconsistent with asset return data. Euler inequalities for a transaction cost economy with…