随机利率、异质估值与搜索摩擦下的波动量关系

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2023-02-27 DOI:10.1093/rapstu/raad004

Sheen X. Liu, Junbo Wang, Chunchi Wu

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引用次数: 0

摘要

我们提出了一个具有随机利率的动态均衡模型，其中代理人对同一资产持有异质估值并相互持有头寸。该模型表明，利率不确定性和投资者异质性是价格离散的关键决定因素。较高的搜索强度降低了价格的分散性，同时提高了交易量，导致波动性与交易量呈负相关。当流动性较低、利率变动较大、投资者估值异质性较大时，波动性对成交量的敏感性较高。证据支持我们的模型的预测，并表明搜索摩擦在驱动波动量关系中发挥重要作用。

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Stochastic Interest Rates, Heterogeneous Valuations, and the Volatility-Volume Relation with Search Frictions

We propose a dynamic equilibrium model with stochastic interest rates in which agents hold heterogeneous valuations for the same asset and take on positions against each other. The model shows that interest rate uncertainty and investor heterogeneity are key determinants of price dispersion. Higher search intensity reduces price dispersion, while raising volume, leading to a negative volatility-volume relation. The sensitivity of volatility to volume is high when liquidity is low, interest rate variations are high and investors' valuations are more heterogeneous. Evidence supports our model's predictions and shows that search frictions play an important role in driving the volatility-volume relation.

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.