VAYANOS, DIMITRI; WEILL, PIERRE-OLIVIER - In: Journal of Finance 63 (2008) 3, pp. 1361-1398
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely lived agents can establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We show that short-sellers can endogenously...