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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27342
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| Title: | Valuation in Dynamic Bargaining Markets |
| Authors: | Duffie, Darrell
Garleanu, Nicolae
Pedersen, Lasse Heje |
| Issue Date: | 24-Sep-2001 |
| Series/Report no.: | S-MF-01-01 |
| Abstract: | We 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. |
| URI: | http://hdl.handle.net/2451/27342 |
| Appears in Collections: | Macro Finance
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