Liquidity and valuation in an uncertain world

• 成果类型: Article
• 署名作者: Easley, David; O'Hara, Maureen
• 署名单位: Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.03.004
• 发表日期: 2010
• 页码: 1-11
• 关键词: liquidity; uncertainty; Subprime crisis; Fair value accounting

摘要

During the 2007-2009 financial crisis there was little or no trading in a variety of financial assets, even though bid and ask prices existed for many of these assets. We develop a model in which this illiquidity arises from uncertainty, and we argue that this new form of illiquidity makes bid and ask prices unsuitable as metrics for establishing fair value for these assets. We show how the extreme uncertainty that traders face can be characterized by incomplete preferences over portfolios, and we use Bewley's (2002) model of decision making under uncertainty to derive equilibrium quotes and the nonexistence of trading at these quotes. We then suggest alternatives for valuing assets in illiquid markets. (c) 2010 Elsevier B.V. All rights reserved.