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1、JCUfWALOFFINANCIALAMDCUANTITATIVEANALYSISVOL.30,NO.1,MARCH1995TheAssetPricingEffectsofFixedHoldingCosts:AnUpperBoundAlanD.Viard*AbstractTheCapitalAssetPricingModelpredictsthatinvestorswillholddiversifiedportfolios,butmanyhouseholdsactuallyholdveryfewassets.Thepaperexaminestheassetpricingimplicat
2、ionsofonepossibleexplanationforthisphenomenon,fixedcostsofholdingassets.Whileearlierauthorsfoundtheexactassetpricingeffectsofsuchcostsinsingle-periodmodelsunderrestrictiveassumptions,Ideriveageneralupperboundontheseeffectsthatisalsovalidincontinuoustime.Illustrativecalculationsrevealthatlargehol
3、dingcostsmustbepostulatedtogeneratesignificantassetpricingeffects.I.IntroductionTheCapitalAssetPricingModel(CAPM)andothereconomicmodelsofportfoliochoiceandassetpricingpredictthatinvestorswillholdhighlydiversifiedportfolios,generallytakingnonzeropositionsinallavailableassets.Empiricalevidencedemo
4、nstrates,however,thatmanyhouseholdsholdaverylimitedsetofas.sets.Thisevidencesuggeststhepresenceofsignificantcostsofholdingassets.Economistshaverecognizedthatsuchcostscanaltertheassetpricingpre-dictionsoftheCAPM.Inthispaper,Iexaminetheeffectsoffixedholdingcosts(coststhatdonotdependuponthequantity
5、ofeachassetthatisheld).Whileearlierauthorssolvedfortheexacteffectsofsuchcostsunderhighlyrestrictiveassutnptions,Ideriveanupperboundonthepossiblemagnitudeofsucheffectsunderquitegeneralassumptions.Inparticular,IdonotrestrictthecorrelationbetweentheratesofreturnsondifferentassetsandIdonotrestrictwh
6、ichassetpayoffs,prices,andquantitiesareendogenousandwhichareexogenous.Theupperboundcanbederivedundersuchgeneralconditionsbecauseitisimplieddirectlybytheassumptionofoptimizingbehavior.Inthepresenceofhold-ingcostt;,aninvestorfailstoholdnparticularassetonlyiftheincreaseinexpectedutilityduetotheimpr
7、ovedmean-variancecombinationitoffersisoutweighedbytheassociatedholdingcostIshowthattheexpectedutilityincreaseduetothe•DepartmentofEconomics,OhioStateUniversity,Columbus,OH43210-1172.Theauthorisgratei'ultoN.GregorjMankiw,Benj
