Information, liquidity, and asset trading in a random matching game
成果类型：
Article
署名作者：
Hopenhayn, HA; Werner, IM
署名单位：
Pompeu Fabra University; Stanford University
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1996.0021
发表日期：
1996
页码：
349-379
关键词：
摘要：
This paper develops a sequential random matching model of asset trading to analyze how the extent of information about an asset that is available in the market can affect its tradeability. Liquidity traders are rational agents with higher impatience, which make optimal intertemporal consumption decisions given the trading constraints. Information asymmetries result in unexecuted trades. Agents who want to consume relatively early optimally choose to exchange initial assets for new assets that have lower expected payoff but are more liquid in subsequent trading. These assets have a lower expected rate or return (i.e., a liquidity premium) and higher trading volume. (C) 1996 Academic Press, Inc.