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Flight to Quality, Flight to Liquidity, and the Pricing of Risk

(2003)

被引用614|浏览2
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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-varying and increasing with volatility. We sho...更多

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