Valuation in Dynamic Bargaining Markets
AbstractWe study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can trade only when they find each other. Marketmakers' prices are higher and bid-ask spreads are lower if investors can find each other more easily. Prices become Walrasian as investors' or marketmakers' search intensities get large. Endogenizing search intensities yields natural welfare implications. Information can fail to be revealed through trading when search is difficult.
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Bibliographic InfoPaper provided by Econometric Society in its series Econometric Society 2004 North American Winter Meetings with number 649.
Date of creation: 11 Aug 2004
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Search; Bargaining; Asset Markets;
Other versions of this item:
- duffie, 2004. "Valuation in Dynamic Bargaining Markets," Econometric Society 2004 North American Winter Meetings 633, Econometric Society.
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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- Pierre-Olivier Weill, 2004.
"Liquidity Premia in Dynamic Bargaining Markets,"
Econometric Society 2004 North American Winter Meetings
648, Econometric Society.
- Acharya, Viral V & Pedersen, Lasse Heje, 2004.
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- Kinga Z. Elo, 2007. "The Effect of Capital Controls on Foreign Direct Investment Decisions Under Country Risk with Intangible Assets," IMF Working Papers 07/79, International Monetary Fund.
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