ISBN:
9780444594068
Content:
In this paper we survey the theoretical and empirical literatures on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity affects expected asset returns. Using a unified model from Vayanos and Wang (2010), we survey theoretical work on six main imperfections: participation costs, transaction costs, asymmetric information, imperfect competition, funding constraints, and search—and for each imperfection we address the three basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to both interpret existing results and suggest new tests and analysis.
In:
Handbook of the economics of finance ; Vol. 2,B: Financial markets and asset pricing, Amsterdam : North-Holland, Elsevier, 2013, (2013), Seite 1289-1361, 9780444594068
In:
year:2013
In:
pages:1289-1361
Language:
English
DOI:
10.1016/B978-0-44-459406-8.00019-6
URL:
Volltext
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