Liquidity premia in dynamic bargaining markets
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. In contrast with much of the transaction-cost literature, it is not assumed that different assets carry different exogenously specified trading costs. Instead, different expected returns, due to liquidity, are explained by the cross-sectional variation in tradeable shares. The qualitative predictions of the model are consistent with much of the empirical evidence.
Year of publication: |
2008
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Authors: | Weill, Pierre-Olivier |
Published in: |
Journal of Economic Theory. - Elsevier, ISSN 0022-0531. - Vol. 140.2008, 1, p. 66-96
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Publisher: |
Elsevier |
Saved in:
Online Resource
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