NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

The Dynamic Properties of Financial-Market Equilibrium with Trading Fees

Adrian Buss, Bernard Dumas

NBER Working Paper No. 19155
Issued in June 2013, Revised in July 2017
NBER Program(s):AP

We incorporate trading fees in a long-horizon dynamic general-equilibrium model in which traders optimally and endogenously decide when and how much to trade. A full characterization of equilibrium is provided, which allows us to study the dynamics of equilibrium trades, equilibrium asset prices and rates of return in the presence of trading fees. We exhibit the effect of trading fees on deviations from the consumption- CAPM and analyze the pricing of endogenous liquidity risk. We compare, for the same shocks, the impulse responses of this model to those of a model in which trading is infrequent because of trader inattention.

The current version reflects material that was previously in two papers, w21421 and w19155.

download in pdf format
   (702 K)

email paper

Machine-readable bibliographic record - MARC, RIS, BibTeX

Document Object Identifier (DOI): 10.3386/w19155

Users who downloaded this paper also downloaded* these:
Subrahmanyam and Titman w19383 Financial Market Shocks and the Macroeconomy
Brunnermeier, Eisenbach, and Sannikov w18102 Macroeconomics with Financial Frictions: A Survey
Acemoglu, Egorov, and Sonin w19158 Political Economy in a Changing World
DeAngelo and Stulz w19139 Why High Leverage is Optimal for Banks
Nagel w18554 Empirical Cross-Sectional Asset Pricing
 
Publications
Activities
Meetings
NBER Videos
Themes
Data
People
About

National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us