Albuquerque, Rui; Schroth, Enrique - Tinbergen Instituut - 2011
block trades. The search model incorporates two aspects of illiquidity, or search frictions. First, upon a liquidity shock …, the incumbent blockholders may be forced to sell to a less efficient buyer. Second, a block liquidity sale may occur at a … fire sale price. We conduct a structural estimation of the model using data on majority block trades in the U.S. The …