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The Resource Theories of liquidity, Dimitri Vayanos, Jiang Wang

Theories of liquidity, Dimitri Vayanos, Jiang Wang

Label
Theories of liquidity
Title
Theories of liquidity
Statement of responsibility
Dimitri Vayanos, Jiang Wang
Creator
Contributor
Author
Subject
Language
eng
Summary
We survey the theoretical literature on market liquidity. The literature traces illiquidity, i.e., the lack of liquidity, to underlying market imperfections. We consider six main imperfections: participation costs, transaction costs, asymmetric information, imperfect competition, funding constraints, and search. We address three questions in the context of each imperfection: (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. We nest all six imperfections within a common, unified model, and use that model to organize the literature.--
Assigning source
Provided by publisher
Cataloging source
YDXCP
http://library.link/vocab/creatorName
Vayanos, Dimitri
Index
no index present
Literary form
non fiction
http://library.link/vocab/relatedWorkOrContributorDate
1959-
http://library.link/vocab/relatedWorkOrContributorName
Wang, Jiang
Series statement
Foundations and trends in finance
Series volume
v. 6:4
http://library.link/vocab/subjectName
  • Liquidity (Economics)
  • Risk management
Label
Theories of liquidity, Dimitri Vayanos, Jiang Wang
Instantiates
Publication
Copyright
Bibliography note
Includes bibliographical references (pages 87-101)
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. Model -- 3. Perfect-market benchmark -- 3.1 Equilibrium -- 3.2 Illiquidity and its effect on price -- 4. Participation costs -- 4.1 Equilibrium -- 4.2 Participation costs and illiquidity -- 4.3 Literature -- 5. Transaction costs -- 5.1 Equilibrium -- 5.2 Transaction costs and illiquidity -- 5.3 Literature -- 6. Asymmetric information -- 6.1 Equilibrium -- 6.2 Asymmetric information and illiquidity -- 6.3 Literature -- 7. Imperfect competition -- 7.1 Equilibrium -- 7.2 Imperfect competition and illiquidity -- 7.3 Literature -- 8. Funding constraints -- 8.1 Equilibrium -- 8.2 Funding constraints and illiquidity -- 8.3 Literature -- 9. Search -- 9.1 Equilibrium -- 9.2 Search and illiquidity -- 9.3 Literature -- 10. Conclusion -- Acknowledgments -- References
Control code
FIEb17512967
Dimensions
24 cm.
Extent
ix, 101 pages
Isbn
9781601985989
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)815735369
Label
Theories of liquidity, Dimitri Vayanos, Jiang Wang
Publication
Copyright
Bibliography note
Includes bibliographical references (pages 87-101)
Carrier category
volume
Carrier category code
  • nc
Carrier MARC source
rdacarrier.
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent.
Contents
1. Introduction -- 2. Model -- 3. Perfect-market benchmark -- 3.1 Equilibrium -- 3.2 Illiquidity and its effect on price -- 4. Participation costs -- 4.1 Equilibrium -- 4.2 Participation costs and illiquidity -- 4.3 Literature -- 5. Transaction costs -- 5.1 Equilibrium -- 5.2 Transaction costs and illiquidity -- 5.3 Literature -- 6. Asymmetric information -- 6.1 Equilibrium -- 6.2 Asymmetric information and illiquidity -- 6.3 Literature -- 7. Imperfect competition -- 7.1 Equilibrium -- 7.2 Imperfect competition and illiquidity -- 7.3 Literature -- 8. Funding constraints -- 8.1 Equilibrium -- 8.2 Funding constraints and illiquidity -- 8.3 Literature -- 9. Search -- 9.1 Equilibrium -- 9.2 Search and illiquidity -- 9.3 Literature -- 10. Conclusion -- Acknowledgments -- References
Control code
FIEb17512967
Dimensions
24 cm.
Extent
ix, 101 pages
Isbn
9781601985989
Media category
unmediated
Media MARC source
rdamedia.
Media type code
  • n
Other physical details
illustrations
System control number
(OCoLC)815735369

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