کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
957679 1478755 2008 31 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Liquidity premia in dynamic bargaining markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Liquidity premia in dynamic bargaining markets
چکیده انگلیسی
This paper develops a search-theoretic model of the cross-sectional distribution of asset returns, abstracting from risk premia and focusing exclusively on liquidity. In contrast with much of the transaction-cost literature, it is not assumed that different assets carry different exogenously specified trading costs. Instead, different expected returns, due to liquidity, are explained by the cross-sectional variation in tradeable shares. The qualitative predictions of the model are consistent with much of the empirical evidence.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Theory - Volume 140, Issue 1, May 2008, Pages 66-96
نویسندگان
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