Pricing Liquidity Risk with Heterogeneous Investment Horizons

We develop an asset pricing model with stochastic transaction costs and investors with heterogeneous horizons. Depending on their horizon, investors hold different sets of assets in equilibrium. This generates segmentation and spillover effects for expected returns, where the liquidity (risk) premium of illiquid assets is determined by investor horizons and the correlation between liquid and illiquid asset returns. We estimate our model for the cross-section of U.S. stock returns and find that it generates a good fit, mainly due to a combination of a substantial expected liquidity premium and segmentation effects, while the liquidity risk premium is small

Pricing Liquidity Risk with Heterogeneous Investment Horizons

We develop an asset pricing model with stochastic transaction costs and investors with heterogeneous horizons. Depending on their horizon, investors hold different sets of assets in equilibrium. This generates segmentation and spillover effects for expected returns, where the liquidity (risk) premium of illiquid assets is determined by investor horizons and the correlation between liquid and illiquid asset returns. We estimate our model for the cross-section of U.S. stock returns and find that it generates a good fit, mainly due to a combination of a substantial expected liquidity premium and segmentation effects, while the liquidity risk premium is small

Does the Use of Epiduroscopic Lysis of Adhesions Reduce the Need for Spinal Cord Stimulation in Failed Back Surgery Syndrome? A Short-Term Pilot Study

Item does not contain fulltextBACKGROUND AND AIMS: Persistent low back pain after initially successful surgery that is not attributed to structural deficits is called failed back surgery syndrome (FBSS). When conservative and minimal invasive therapy fail, the recommended treatment is spinal cord stimulation (SCS). Because epidural fibrosis can be a contributing factor in the majority of FBSS patients, lumbosacral epiduroscopic lysis of adhesions may be considered as a less invasive alternative treatment option. We hypothesized that the use of epiduroscopic lysis of adhesions could reduce the need for SCS. METHODS: A pilot study was performed in 35 consecutive patients with FBSS who underwent epiduroscopic lysis of adhesions. SCS was considered if epiduroscopic lysis of adhesions gave less than 50% global perceived effect (GPE) improvement after 15 months of follow-up. The GPE was measured 1 week and 6 months after the procedure. RESULTS: Over a period of 69 months, 35 patients were included. After 15 months of follow-up, 43% of patients required SCS. Eight of the 15 patients who reported no short-term improvement needed SCS; those patients had severe epidural fibrosis. One week after epiduroscopic lysis of adhesions, 34%, 23%, and 43% of patients reported GPE improvement of > 50%, 20% to 50%, and 50%, 20% to 50%, and < 20%, respectively. CONCLUSIONS: In this pilot study we observed a reduced need for SCS when lumbosacral epiduroscopic lysis of adhesions was used for patients with FBSS and magnetic resonance imaging-proven adhesions. These observations justify the evaluation of both treatment options in a prospective observational trial