We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term …

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of … the impact of investors heterogeneity on the properties of the equilibrium. In particular, we analyze the consumption … shares, the market price of risk, the risk free rate, the bond prices at dierent maturities, the stock price and volatility …

We perform a detailed asymptotic analysis of the equilibrium behavior of the asset prices, wealth size and portfolio … weights in complete markets equilibria, with long-lived funds. In equilibrium, the fund with the (closest to) log preference …

We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary … equilibrium, the size of market price of risk is determined by the market price of discounted dividend volatility (DDV …

We study survival, price impact and portfolio impact in heterogeneous economies. We show that, under the equilibrium …