We study liquidity premia due to proportional transaction costs in
finite horizons. We show that an investment horizon has a significant
e®ect on the liquidity premia of an illiquid asset. We also confirm in
finite horizons that liquidity premia can be significantly a®ected by
expected returns and volatilities of the illiquid asset.
학회소식
공지사항
[2003년 제 2차] Liquidity Premia in Finite Horizons
작성자 : 관리자
조회수 : 774
게시일 :
2003-07-12