, peer benchmarking produces an excess in comovement across stock returns beyond the correlation implied by fundamentals. …

rates of return to compensate agents for their relative lack of liquidity. Consistent with empirical findings, our model …

determine asset liquidity. In our model, two asset suppliers try to profit from the liquidity services their assets confer …. Asset liquidity is indirect in the sense that assets can be sold for money in over-the-counter (OTC) secondary markets … liquidity of two assets. Asset demand curves can slope upward for evenmodest degrees of increasing returns in the matching …

Assets have "indirect liquidity" if they cannot be used as media of exchange, but can be traded to obtain a medium of … liquidity, provides closed form solutions for real and nominal assets, and discusses properties of the solutions. Some of these …

portfolios, but liquidity comes at a cost: inflation. The OTC market serves as a secondary asset market, in which agents can … rebalance their positions depending on their liquidity needs. Hence, a contribution of our paper is to provide a micro … value because they help agents avoid the inflation tax. -- monetary-search models ; liquidity ; asset prices ; over …

This paper explores liquidity spillovers in market-capitalization-based portfolios of NYSE stocks. Return, volatility …, and liquidity dynamics across the small- and large-cap sectors are modeled by way of a vector autoregression model, using … data that spans more than 3,000 trading days. We find that volatility and liquidity innovations in one sector are …

more highly correlated; moreover, at these times, money supply positively affects financial market liquidity, albeit with a … lag of two weeks. During normal times, increases in mutual fund flows enhance stock market liquidity and trading volume …, but during financial crises, U.S. government bond funds see higher inflows, resulting in increased bond market liquidity …

This paper explores liquidity movements in stock and Treasury bond markets over a period of more than 1800 trading days …. Cross-market dynamics in liquidity are documented by estimating a vector autoregressive model for liquidity (that is, bid … in one market affects the spreads in both markets, and that return volatility is an important driver of liquidity …

assets are likely to serve as media of exchange or collateral (a definition of liquidity often employed in monetary theory …), or that they can be easily sold in a secondary market, if needed (a definition of liquidity closer to the one adopted in … finance)? We develop a model where these two notions of asset liquidity coexist, and their relative importance is determined …