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Valuation in Over-the-Counter Markets / Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen.
- Format:
- Book
- Author/Creator:
- Duffie, Darrell.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w12020.
- NBER working paper series no. w12020
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2006.
- Summary:
- 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.
- Notes:
- Print version record
- February 2006.
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