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This paper studies a dynamic model of a financial market with N strategic agents. Agents receive random stock endowments at each period and trade to share dividend risk. Endowments are the only private information in the model. We find that agents trade slowly even when the time between trades...
Persistent link: https://www.econbiz.de/10011071211
with no-arbitrage. We derive closed-form solutions for small frictions, and can generate price differentials in line with …
Persistent link: https://www.econbiz.de/10010745747