论文标题
流动性PREMIA横截面的平衡模型
An Equilibrium Model for the Cross-Section of Liquidity Premia
论文作者
论文摘要
我们研究了一种风险分担经济，在该经济中有任意数量的异质代理商进行任意数量的风险资产，约有二次交易成本。对于线性状态动力学，在这种情况下表征均衡资产价格和交易策略的前向后的随机微分方程将矩阵值riccati方程式减少。我们证明存在独特的全球解决方案，并提供明确的渐近扩展，使我们能够近似于小型交易成本的相应平衡。这些可进行处理的近似公式使将模型校准为价格序列和交易量，并研究通过较高和较低交易成本的资产赚取的流动性Premia的横截面是可行的。这是通过经验案例研究来说明的。
We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations characterizing equilibrium asset prices and trading strategies in this context reduce to a system of matrix-valued Riccati equations. We prove the existence of a unique global solution and provide explicit asymptotic expansions that allow us to approximate the corresponding equilibrium for small transaction costs. These tractable approximation formulas make it feasible to calibrate the model to time series of prices and trading volume, and to study the cross-section of liquidity premia earned by assets with higher and lower trading costs. This is illustrated by an empirical case study.
