کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
960231 | 929425 | 2010 | 11 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Liquidity and valuation in an uncertain world
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
During the 2007–2009 financial crisis there was little or no trading in a variety of financial assets, even though bid and ask prices existed for many of these assets. We develop a model in which this illiquidity arises from uncertainty, and we argue that this new form of illiquidity makes bid and ask prices unsuitable as metrics for establishing “fair value” for these assets. We show how the extreme uncertainty that traders face can be characterized by incomplete preferences over portfolios, and we use Bewley's (2002) model of decision making under uncertainty to derive equilibrium quotes and the nonexistence of trading at these quotes. We then suggest alternatives for valuing assets in illiquid markets.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 97, Issue 1, July 2010, Pages 1–11
Journal: Journal of Financial Economics - Volume 97, Issue 1, July 2010, Pages 1–11
نویسندگان
David Easley, Maureen O’Hara,