Vayanos, Dimitri 
ORCID: 0000-0002-0944-4914
(2012)
Theories of liquidity.
Foundations and Trends in Finance, 6 (4).
pp. 221-317.
ISSN 1567-2395
Abstract
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.
| Item Type: | Article |
|---|---|
| Official URL: | http://www.nowpublishers.com/product.aspx?product=... |
| Additional Information: | © 2012 The Authors |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | G - Financial Economics > G3 - Corporate Finance and Governance > G33 - Bankruptcy; Liquidation |
| Date Deposited: | 30 Nov 2012 13:13 |
| Last Modified: | 01 Feb 2025 06:16 |
| URI: | http://eprints.lse.ac.uk/id/eprint/47572 |
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