We analyze the impact of market frictions on trading volume and liquidity premia for finite maturity assets when … investors differ in their investment horizons. In equilibrium, illiquidity spills over from short-term to long-term assets and … volume and maturity, ii) decreasing trading volume as assets age, iii) an increasing liquidity term structure when …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their trading needs. Our equilibrium model generates a clientele effect (frequently trading investors only … volumes of older compared to younger assets, iii) an increasing liquidity term structure from ask prices, iv) a decreasing or …

We analyze the impact of market frictions on trading volume and liquidity premia of finite maturity assets when … investors differ in their investment horizons. In equilibrium, short-horizon investors only invest in short-term assets and … volume and maturity, ii) lower trading volumes of older compared to younger assets, iii) an increasing liquidity term …

liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion … such as the liquidity premium are overestimated in partial equilibrium relative to general equilibrium. … prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks …

liquidity. We show how equilibrium in this incomplete-markets economy can be characterized and solved for in a recursive fashion … prices in a dynamic general equilibrium economy with a financial market that has a single-period bond and two risky stocks … investors, and hence, on equity risk premia and the liquidity premium. …

investment policy, its implied welfare, liquidity premium, and trading volume. At the first order, the liquidity premium equals …