期刊
REVIEW OF FINANCIAL STUDIES
卷 20, 期 6, 页码 1865-1900出版社
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhm037
关键词
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We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under certain conditions, illiquidity discounts are higher when counterparties are harder to find, when sellers have less bargaining power, when the fraction of qualified owners is smaller, or when risk aversion, volatility, or hedging demand is larger. Supply shocks cause prices to jump, and then recover over time, with a time signature that is exaggerated by search frictions: The price jump is larger and the recovery is slower in less liquid markets. We discuss a variety of empirical implications.
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