Search and Endogenous Concentration of Liquidity in Asset Markets
We develop a search-based model of asset trading, in which investors of different horizons can invest in two identical assets. The asset markets are partially segmented: buyers can search for only one of the assets, but can decide which one. We show that there exists a “clientele equilibrium where one market has more buyers and sellers, lower search times, higher trading volume, higher prices, and short-horizon investors. This equilibrium dominates the ones where the two markets are identical, implying that the concentration of liquidity in one asset is socially desirable. At the same time, too many buyers decide to search for the liquid asset.
Liquidity Search Asset pricing On-the-run bonds
Dimitri Vayanos Tan Wang
London School of Economics, London WC2A 2AE, UK Sauder School of Business, University of British Columbia, 2053 Main Mall, Vancouver V6T 1Z2, Canada
国际会议
西安
英文
1-49
2006-07-17（万方平台首次上网日期，不代表论文的发表时间）