Equilibrium valuation of illiquid assets
AbstractWe develop an equilibrium model of illiquid asset valuation based on search and matching. We propose several measures of illiquidity and show how these measures behave. We also show that the equilibrium amount of search may be less than, equal to or greater than the amount of search that is socially optimal. Finally, we show that excess returns on illiquid assets are fair games if returns are defined to include the appropriate shadow prices.
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Bibliographic InfoArticle provided by Springer in its journal Economic Theory.
Volume (Year): 19 (2002)
Issue (Month): 2 ()
Note: Received: June 25, 2000; revised version: October 24, 2000
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Web page: http://link.springer.de/link/service/journals/00199/index.htm
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- D40 - Microeconomics - - Market Structure and Pricing - - - General
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search, Learning, and Information
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