investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals …In a market with one safe and one risky asset, an investor with a long horizon, constant investment opportunities, and … investment opportunities are stochastic. The shadow price is also found explicitly …

longer play a role as a liquidity provider if the volatility of pro-cyclical dividends increases. Our model provides a …We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor … liquidity premium while procyclical dividends amplify this effect. More importantly, we observe that cash dividends can no …

longer play a role as a liquidity provider if the volatility of pro-cyclical dividends increases. Our model provides a …We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor … liquidity premium while procyclical dividends amplify this effect. More importantly, we observe that cash dividends can no …

longer play a role as a liquidity provider if the volatility of pro-cyclical dividends increases. Our model provides a …We investigate the effect of the regime-switching transaction costs and dividends on liquidity premium and investor … liquidity premium while pro-cyclical dividends amplify this effect. More importantly, we observe that cash dividends can no …