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Please use this identifier to cite or link to this item: http://hdl.handle.net/2451/26562

Title: Valuation in Dynamic Bargaining Markets
Authors: Duffie, Darrell
Garleanu, Nicolae
Pedersen, Lasse Heje
Issue Date: 24-Sep-2001
Series/Report no.: FIN-01-022
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 bidask 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/2451/26562
Appears in Collections:Finance Working Papers

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