Flight to Quality, Flight to Liquidity, and the Pricing of Risk
收藏NBER2004-02-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w10327
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资源简介：
We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility and transaction costs. Our key assumption is that investors are fund managers, subject to withdrawals when fund performance falls below a threshold. This generates a preference for liquidity that is time
提供机构：
美国国家经济研究局
创建时间：
2004-02-01
