Vayanos, Dimitri 
ORCID: 0000-0002-0944-4914 and Wang, Jiang
(2012)
Liquidity and asset returns under asymmetric information and imperfect competition.
Review of Financial Studies, 25 (5).
pp. 1339-1365.
ISSN 0893-9454
Abstract
We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second period raises ex ante expected asset returns in the first, comparing both to the case where all private signals are made public and to that where private signals are not observed. Imperfect competition can instead lower expected returns. Each imperfection can move common measures of illiquidity in opposite directions.
| Item Type: | Article |
|---|---|
| Official URL: | http://rfs.oxfordjournals.org/ |
| Additional Information: | © 2012 The Author |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | D - Microeconomics > D4 - Market Structure and Pricing > D43 - Oligopoly and Other Forms of Market Imperfection D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D82 - Asymmetric and Private Information F - International Economics > F1 - Trade > F12 - Models of Trade with Imperfect Competition and Scale Economies F - International Economics > F1 - Trade > F14 - Country and Industry Studies of Trade |
| Date Deposited: | 24 Sep 2012 14:19 |
| Last Modified: | 25 Sep 2024 06:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/46334 |
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