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Search in asset markets: market structure, liquidity, and welfare

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  • Ricardo Lagos
  • Guillaume Rocheteau

Abstract

This paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings.

Suggested Citation

  • Ricardo Lagos & Guillaume Rocheteau, 2007. "Search in asset markets: market structure, liquidity, and welfare," Working Papers (Old Series) 0701, Federal Reserve Bank of Cleveland.
    • Handle: RePEc:fip:fedcwp:0701
    DOI: 10.26509/frbc-wp-200701
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    References listed on IDEAS

    as
    1. Ricardo Lagos & Guillaume Rocheteau, 2006. "Search in asset markets," Working Papers (Old Series) 0607, Federal Reserve Bank of Cleveland.
    2. Darrell Duffie, 2012. "Over-The-Counter Markets," Introductory Chapters, in: Dark Markets: Asset Pricing and Information Transmission in Over-the-Counter Markets, Princeton University Press.
    3. Michael J. Barclay & William G. Christie & Jeffrey H. Harris & Eugene Kandel & Paul H. Schultz, 1999. "Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks," Journal of Finance, American Finance Association, vol. 54(1), pages 1-34, February.
    4. James P. Weston, 2000. "Competition on the Nasdaq and the Impact of Recent Market Reforms," Journal of Finance, American Finance Association, vol. 55(6), pages 2565-2598, December.
    Full references (including those not matched with items on IDEAS)

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    Portfolio management;

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