Earticle

초록

영어

This paper investigates an Epstein-Zin type (1989, 1991) investors' optimal consumption and portfolio choice problem in the presence of transaction costs and liquidation shocks. We model the liquidation shocks as a Poisson process, which enforces the representative investors to liquidate their wealth in an illiquid asset. We calculate an average liquidity premium to transaction cost (LPTC) ratio with the steady state distribution and show that the liquidation shocks can signicantly amplify the eect of the transaction costs on the excess rate of return of the illiquid asset. Our further numerical analysis also demonstrates how the level of elasticity of intertemporal substitution, as well as relative risk aversion, aects the investors' optimal trading behavior.

목차

Abstract
 1 Introduction
 2 The Model
  2.1 Financial Market
  2.2 Wealth Process and Liquidation Shocks
  2.3 Problem
 3 Analytical Results in Optimum
 4 Liquidity Shocks and Liquidity Premium
  4.1 Steady State Distribution
  4.2 The Eect of Risk Aversion and EIS Levels
 5 Conclusion
 Appendix
 References

키워드

저자

• Bong-Gyu Jang [ Department of Industrial and Management Engineering, POSTECH, Kyungbuk, Korea ]
• Hyeng Keun Koo [ Department of Business Administration, Ajou University, Suwon, Korea ]
• Seunkyu Lee [ Department of Industrial and Management Engineering, POSTECH, Kyungbuk, Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330