LAPM : A Liquidity - Based Asset Pricing Model  

Oleh:

Tirole, Jean ; Holmstorm, Bengt

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 5 (2001), page 1837-1868.
Topik: liquidity; liquidity; CAPM; securities; studies; mathematical models
Fulltext: p 1837.pdf (243.26KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.4 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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The intertemporal CAPM predicts that an asset's price is equal to the expectation of the product of the asset's payoff and a representative consumer's intertemporal marginal rate of substitution. This paper develops an alternative approach to asset pricing based on corporation's desire to hoard liquidity. Our corporate finance approach suggests new determinants of asset prices such as the distribution of wealth within the corporate sector and between the corporate sector and the consumers. Also, leverage ratios, capital adequacy requirements, and the composition of saving affect the corporate demand for liquid assets and thereby interest rates.

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