Liquidity shocks and equilibrium liquidity premia
- 13 February 2003
- journal article
- Published by Elsevier in Journal of Economic Theory
- Vol. 109 (1) , 104-129
- https://doi.org/10.1016/s0022-0531(02)00039-x
Abstract
No abstract availableKeywords
This publication has 30 references indexed in Scilit:
- Endogenous Liquidity in Asset MarketsSSRN Electronic Journal, 2002
- A Century of Stock Market Liquidity and Trading CostsSSRN Electronic Journal, 2002
- Alternative factor specifications, security characteristics, and the cross-section of expected stock returnsPublished by Elsevier ,2000
- Transaction Costs and Asset Prices: A Dynamic Equilibrium modelThe Review of Financial Studies, 1998
- Noise Trading, Delegated Portfolio Management, and Economic WelfareJournal of Political Economy, 1997
- Market microstructure and asset pricing: On the compensation for illiquidity in stock returnsJournal of Financial Economics, 1996
- Arbitrage With Holding Costs: A Utility-Based ApproachThe Journal of Finance, 1992
- Liquidity, Asset Prices and Financial PolicyCFA Magazine, 1991
- An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions CostsThe Journal of Finance, 1991
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption GoodsEconometrica, 1990