Pedersen, Lasse; Duffie, Darrell; Garleanu, Nicolae - Econometric Society - 2004
We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents … find each other more easily. Prices become Walrasian as investors' or marketmakers' search intensities get large …. Endogenizing search intensities yields natural welfare implications. Information can fail to be revealed through trading when …