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This paper studies dynamic information acquisition in financial markets with information asymmetry. It first shows that multiplicity can arise in the information market due to a dynamic complementarity in information acquisition. It then characterizes interactions between information...
Persistent link: https://www.econbiz.de/10012663678
Persistent link: https://www.econbiz.de/10012010916
We endogenize the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous agents. The model decomposes the convenience yield of government bond into a "liquidity premium" (flight to liquidity) and a "safety premium" (flight to quality) over the...
Persistent link: https://www.econbiz.de/10011780935
We endogenize the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous agents. The model decomposes the convenience yield of government bond into a "liquidity premium" (flight to liquidity) and a "safety premium" (flight to quality) over the...
Persistent link: https://www.econbiz.de/10013210483
We differentiate the liquidity and the quality of private assets in a tractable incomplete-market model with heterogeneous agents. The model decomposes the convenience yield of government bonds into a "liquidity premium" (flight to liquidity) and a "safety premium" (flight to quality) over the...
Persistent link: https://www.econbiz.de/10014349352