| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12020 |
| 来源ID | Working Paper 12020 |
| Valuation in Over-the-Counter Markets | |
| Darrell Duffie; Nicolae Garleanu; Lasse Heje Pedersen | |
| 发表日期 | 2006-02-13 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | 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 are larger. Supply shocks cause prices to jump, and then "recover" over time, with a time signature that is exaggerated by search frictions. We discuss a variety of empirical implications. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12020 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569673 |
| 推荐引用方式 GB/T 7714 | Darrell Duffie,Nicolae Garleanu,Lasse Heje Pedersen. Valuation in Over-the-Counter Markets. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12020.pdf（365KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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