A search-based theory of the on-the-run phenomenon

• 成果类型: Article
• 署名作者: Vayanos, Dimitri; Weill, Pierre-Olivier
• 署名单位: University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; National Bureau of Economic Research; University of California System; University of California Los Angeles
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01360.x
• 发表日期: 2008
• 页码: 1361-1398
• 关键词: asset prices; liquidity; equilibrium; MARKET; money; transactions; volume; RISK

摘要

We propose a model in which assets with identical cash flows can trade at different prices. Infinitely lived agents can 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 they must deliver the asset they borrowed. That asset enjoys greater liquidity, a higher lending fee (specialness), and trades at a premium consistent with no-arbitrage. We derive closed-form solutions for small frictions, and provide a calibration generating realistic on-the-run premia.