Asset Prices and Liquidity in an Exchange Economy
نویسنده
چکیده
I develop an asset-pricing model in which financial assets are valued for their liquidity– the extent to which they are useful in facilitating exchange–as well as for being claims to streams of consumption goods. The implications for average asset returns, the equitypremium puzzle, and the risk-free rate puzzle, are explored both analytically and quantitatively in a version of the model that nests Mehra and Prescott (1985). JEL Classification: E42, E52, G12
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