Presidential address: Liquidity and price discovery

• 成果类型: Article
• 署名作者: O'Hara, M
• 署名单位: Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00569
• 发表日期: 2003
• 页码: 1335-1354
• 关键词: CAPITAL-MARKET EQUILIBRIUM; asset prices; INFORMATION; TRADE; microstructure; PARTICIPATION; return; MODEL; RISK; ask

摘要

This paper examines the implications of market microstructure for asset pricing. I argue that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery, and T argue that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery. I argue that symmetric information-based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. T develop an asymmetric information asset pricing model that incorporates these effects.