Endogenous Liquidity in Asset Markets  

Oleh:

Eisfeldt, Andrea L.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 59 no. 1 (Feb. 2004), page 1-30.
Topik: liquidity; economic models; liquidity; assets; statistical analysis
Fulltext: p 1.pdf (358.49KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

This paper analyzes a model in which long - term risky asets are illiuqid due to adverse selection. The degree of adverse selection and hence the liquidity of these assets is determined endogeneously by the amount of trade for reasons other than private information. I find that higher productivity leads to increased liquidity. Moreover, liquidity magnifies the effects of changes in productivity on investment and volume. High productivity implies that investors initiate larger scale risky projects which increases the riskiness of their incomes. Riskier incomes induce more sales of claims to high - quality projects, causing liquidity to increase.

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