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LAPM: A Liquidity‐Based Asset Pricing Model
Open accessAbstract
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 corporations' 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 savings affect the corporate demand for liquid assets and, thereby, interest rates.
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Citations
Cites
CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*
Sharpe, W. F. (1964) · The Journal of Finance · doi:10.1111/j.1540-6261.1964.tb02865.x · Cited by 19,441
Cited by
Market Liquidity and Funding Liquidity
Brunnermeier, M. K., & Pedersen, L. H. (2009) · Review of Financial Studies · doi:10.1093/rfs/hhn098 · Cited by 4,835
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
Governance Mechanisms and Equity Prices
CREMERS, K. J. M., & NAIR, V. B. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00819.x · Cited by 1,220
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Gromb, D., & Vayanos, D. (2010) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-073009-104107 · Cited by 478
Metadata
- Authors
- Holmström, B., & Tirole, J.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2001-10
- Volume
- 56
- Issue
- 5
- Pages
- 1837-1867
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123815600
- Cited by
- 331
- References
- 1
- FWCI
- 32.22
- Type
- journal article
- Language
- en
- Open access
- bronze
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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