Search and endogenous concentration of liquidity in asset markets

Journal of Economic Theory

Volumn 136, Issue 1, 2007, Pages 66-104

  Vayanos, Dimitri ^a   Wang, Tan ^b  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

^b UNIVERSITY OF BRITISH COLUMBIA   (Canada)

Author keywords

Asset pricing; Liquidity; Search

Indexed keywords

EID: 34548120193     PISSN: 00220531     EISSN: 10957235     Source Type: Journal    
DOI: 10.1016/j.jet.2006.08.001     Document Type: Article

References (35)

1. Admati A., and Pfleiderer P. A theory of intraday patterns: volume and price variability. Rev. Finan. Stud. 1 (1988) 3-40
2. Aiyagari R., Wallace N., and Wright R. Coexistence of money and interest-bearing securities. J. Monet. Econ. 37 (1996) 397-419
3. Amihud Y., and Mendelson H. Dealership market: market-making with inventory. J. Finan. Econ. 8 (1980) 31-53
4. Amihud Y., and Mendelson H. Asset pricing and the bid-ask spread. J. Finan. Econ. 17 (1986) 223-249
5. L. Chen, D. Lesmond, J. Wei, Corporate bond liquidity and its effect on bond yield spreads, J. Finance, forthcoming.
6. Chowdhry B., and Nanda V. Multi-market trading and market liquidity. Rev. Finan. Stud. 4 (1991) 483-511
7. Constantinides G. Capital market equilibrium with transaction costs. J. Polit. Economy 94 (1986) 842-862
8. Diamond P. Wage determination and efficiency in search equilibrium. Rev. Econ. Stud. 49 (1982) 217-227
9. Duffie D., Garleanu N., and Pedersen L. Securities lending. and pricing, J. Finan. Econ. 66 (2002) 307-339
10. D. Duffie, N. Garleanu, L. Pedersen, Valuation in over-the-counter-markets, Working paper, Stanford University, 2004.
11. Duffie D., Garleanu N., and Pedersen L. Over-the-counter markets. Econometrica 73 (2005) 1815-1847
12. Dupont D., and Sack B. The treasury securities market: overview and recent developments. Fed. Reserve Bull. 4 (1999) 785-806
13. Fleming M. Are larger treasury issues more liquid? Evidence from bill reopenings. J. Money, Credit, Banking 3 (2002) 707-735
14. Garbade K. Securities Markets (1982), McGraw-Hill, New York, NY
15. Glosten L., and Milgrom P. Bid, ask, and transaction prices in a specialist market with heterogeneously informed traders. J. Finan. Econ. 13 (1985) 71-100
16. Heaton J., and Lucas D. Evaluating the effects of incomplete markets on risk sharing and asset pricing. J. Polit. Economy 104 (1996) 443-487
17. Ho T., and Stoll H. The dynamics of dealer markets under competition. J. Finance 38 (1983) 1053-1074
18. Huang M. Liquidity shocks and equilibrium liquidity premia. J. Econ. Theory 109 (2002) 104-129
19. Inderst R., and Mueller H. Competitive search markets for durable goods. Econ. Theory 19 (2002) 599-622
20. Kiyotaki N., and Wright R. On money as a medium of exchange. J. Polit. Economy 97 (1989) 927-954
21. Kyle A. Continuous auctions and insider trading. Econometrica 53 (1985) 1315-1335
22. Lippman S., and McCall J. An operational measure of liquidity. Amer. Econ. Rev. 76 (1986) 43-55
23. Lo A., Mamaysky H., and Wang J. Asset prices and trading volume under fixed transaction costs. J. Polit. Economy 112 (2004) 1054-1090
24. Moen E. Competitive search equilibrium. J. Polit. Economy 105 (1997) 385-411
25. Moody's Investor Service, Historical default rates of corporate bond issuers 1920-1999, Global Credit Research, New York, NY, 2000.
26. Mortensen D., and Pissarides C. New developments in models of search in the labor market. In: Ashenfelter O., and Card D. (Eds). Handbook of Labor Economics (1998), North-Holland, Amsterdam (Chapter 39)
27. Mortensen D., and Wright R. Competitive pricing and efficiency in search equilibrium. Int. Econ. Rev. 43 (2002) 1-20
28. Pagano M. Trading volume and asset liquidity. Quart. J. Econ. 104 (1989) 255-274
29. Trejos A., and Wright R. Search, bargaining, money and prices. J. Polit. Economy 103 (1995) 118-141
30. Vayanos D. Transaction costs and asset prices: a dynamic equilibrium model. Rev. Finan. Stud. 11 (1998) 1-58
31. Vayanos D., and Vila J.-L. Equilibrium interest rate and liquidity premium with transaction costs. Econ. Theory 13 (1999) 509-539
32. D. Vayanos, P.-O. Weill, A search-based theory of the on-the-run phenomenon, Working paper, London School of Economics, 2006.
33. Wallace N. A model of the liquidity yield structure based on asset indivisibility. J. Monet. Econ. 45 (2000) 55-68
34. Warga A. Bond returns. liquidity and missing data, J. Finan. Quant. Anal. 27 (1992) 605-617
35. P.-O. Weill, Liquidity premia in dynamic bargaining markets, Working paper, University of California at Los Angeles, 2005.