Search and endogenous concentration of liquidity in asset markets

DOI10.1016/j.jet.2006.08.001zbMath1256.91062OpenAlexW2113278160MaRDI QIDQ2455653

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 pricingsearchliquidity

Mathematics Subject Classification ID

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

Related Items (7)

Existence and uniqueness of a steady state for an OTC market with several assets ⋮ Equilibrium theory of stock market crashes ⋮ Portfolio choice under transitory price impact ⋮ The exact law of large numbers for independent random matching ⋮ Liquidity premia in dynamic bargaining markets ⋮ Dynamic matching and bargaining with heterogeneous deadlines ⋮ Portfolio choice and pricing in illiquid markets

Cites Work

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

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