In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity...

We analyze how asymmetric information and imperfect competition a®ect liquidity and asset prices. Our model has three periods: agents are identical in the ¯rst, become heterogeneous and trade in the second, and consume asset payo®s in the third. We show that asymmetric information in the...

We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information, participation costs, transaction costs, leverage constraints, non-competitive behavior and search. Our model has three periods: agents are identical in the first, become...