Search and endogenous concentration of liquidity in asset markets

DOI10.1016/J.JET.2006.08.001MaRDI QIDQ2455653zbMATH OpenOpenAlexFDO

Authors Dimitri Vayanos, Tan Wang

Publication date 26 October 2007

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL http://eprints.lse.ac.uk/455/1/Search5.pdf

zbMATH Keywords

asset pricingliquiditysearch

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Liquidity in Asset Markets With Search Frictions
• Liquidity premia in dynamic bargaining markets
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Cites work

• Competitive search markets for durable goods
• Continuous Auctions and Insider Trading
• Equilibrium interest rate and liquidity premium with transaction costs
• Liquidity shocks and equilibrium liquidity premia.
• Over-the-Counter Markets

Cited in

(14)

• Portfolio choice and pricing in illiquid markets
• Equilibrium theory of stock market crashes
• Liquidity of secondary capital markets: Allocative efficiency and the maturity composition of the capital stock
• Existence and uniqueness of a steady state for an OTC market with several assets
• Liquidity in Asset Markets With Search Frictions
• The exact law of large numbers for independent random matching
• Dynamic matching and bargaining with heterogeneous deadlines
• Liquidity and market participation
• Liquidity and market participation
• ENDOGENOUS PROCYCLICAL LIQUIDITY, CAPITAL REALLOCATION, AND q
• Portfolio choice under transitory price impact
• Asymmetric information in frictional markets for liquidity: collateralized credit vs asset sale
• Middlemen, inventories and economic dynamics
• Liquidity premia in dynamic bargaining markets

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