that they must deliver the asset they borrowed. As a result, that asset enjoys both greater liquidity, measured by search … through search. Short-sellers can endogenously concentrate in one asset because of search externalities and the constraint … times, and a higher lending fee ("specialness"). Liquidity and specialness translate into price premia that are consistent …

they must deliver the asset they borrowed. That asset enjoys greater liquidity, measured by search times, and a higher … 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 concentrate in one asset because of search externalities and the constraint that …

This paper studies the relationship between the arrival of potential investors and market liquidity in a search … discouraging new investors from entering (what we call the congestion effect). The equilibrium level of market liquidity depends on … find that diminishing trading costs in our market can impair liquidity and reduce welfare. …

We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain … shocks cause prices to jump, and then 'recover' over time, with a time signature that is exaggerated by search frictions. We …

We study the efficiency of liquidity provision by dealers and the desirability of policy intervention in over …. In this context, dealers can provide liquidity to investors by accumulating asset inventories. When OTC frictions are …

consistent with the interpretation that risk-averse dealers tend to provide less liquidity to the market when facing increased … the impact of debt supply on market liquidity. …

This paper re-examines the liquidity effect on stock expected returns in the NYSE over the period 1926–2008, the pre … sample suggests that the systematic liquidity risk plays a significant role in the cross-sectional variation of stock …