Liquidity premia in dynamic bargaining markets

• 成果类型: Article
• 署名作者: Weill, Pierre-Olivier
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2007.08.004
• 发表日期: 2008
• 页码: 66-96
• 关键词: liquidity premia; search

摘要

This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. In contrast with much of the transaction-cost literature, it is not assumed that different assets carry different exogenously specified trading costs. Instead, different expected returns, due to liquidity, are explained by the cross-sectional variation in tradeable shares. The qualitative predictions of the model are consistent with much of the empirical evidence. (c) 2007 Elsevier Inc. All rights reserved.