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Liquidity and Asset Prices : A Unified Framework
Vayanos, Dimitri - 2010
We examine how liquidity and asset prices are affected by the following market imperfections: asymmetric information …
Persistent link: https://www.econbiz.de/10013151396
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Credit Market Freezes
Benmelech, Efraim - 2017
Credit market freezes in which debt issuance declines dramatically and market liquidity evaporates are typically … bonds declined, and secondary credit markets became highly illiquid. In this paper we analyze liquidity in bond markets … during financial crises and compare two main theories of liquidity in markets: (1) asymmetric information and adverse …
Persistent link: https://www.econbiz.de/10012954001
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Liquidity as Social Expertise
Kurlat, Pablo D. - 2015
This paper proposes a theory of liquidity dynamics. Illiquidity results from asymmetric information. Observing the … perpetuates illiquidity. Liquidity falls in response to unexpected events that lead agents to question their valuation models …
Persistent link: https://www.econbiz.de/10013023683
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Arbitrage-Free Limit Order Books and the Pricing of Order Flow Risk
Lehmann, Bruce N. - 2008
This paper builds on the landmark contribution of Glosten (1994) by treating the determination of limit order supply schedules as an exercise in asset pricing theory with the possible sizes of incoming market orders as the value-relevant states of nature, yielding an analogue of the Fundamental...
Persistent link: https://www.econbiz.de/10012772385
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Social Interaction and Stock-Market Participation
Kubik, Jeffrey D. - 2001
We investigate the idea that stock-market participation is influenced by social interaction. We build a simple model in which any given 'social' investor finds it more attractive to invest in the market when the participation rate among his peers is higher. The model predicts higher...
Persistent link: https://www.econbiz.de/10012787652
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Corporate Yield Spreads : Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market
Longstaff, Francis A. - 2004
-market liquidity …
Persistent link: https://www.econbiz.de/10012785748
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Cream Skimming in Financial Markets
Bolton, Patrick - 2011
We propose an equilibrium occupational choice model, where agents can choose to work in the real sector (become entrepreneurs) or to become informed dealers in financial markets. Agents incur costs to become informed dealers and develop skills for valuing assets up for trade. The financial...
Persistent link: https://www.econbiz.de/10013129218
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Differences of Opinion and International Equity Markets
Dumas, Bernard - 2011
We develop an international financial market model in which domestic and foreign residents differ in their beliefs about the information content in public signals. We determine how informational advantages by domestic investors in the interpretation of home public signals impact equity markets....
Persistent link: https://www.econbiz.de/10013130709
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A Simple Test of Private Information in the Insurance Markets with Heterogeneous Insurance Demand
Gan, Li - 2011
A positive correlation between insurance coverage and ex post risk can be an indicator for private information in insurance markets. However, this test fails if agents have heterogeneous risk attitudes. We propose a new test that conditions on unobserved types of individuals who differ in their...
Persistent link: https://www.econbiz.de/10013130968
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Kosher Pork
Drazen, Allan - 2011
Both conventional wisdom and leading academic research view pork barrel spending as antithetical to responsible policymaking in times of crisis. In this paper we present an alternative view. When agents are heterogeneous in their ideology and in their information about the economic situation,...
Persistent link: https://www.econbiz.de/10013131672