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What's Wrong with Pittsburgh? Delegated Investors and Liquidity Concentration / Andra C. Ghent.
- Format:
- Book
- Author/Creator:
- Ghent, Andra C.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w25966.
- NBER working paper series no. w25966
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2019.
- Summary:
- What makes an asset institutional-quality? This paper proposes that one reason is the existing concentration of delegated investors in a market through a liquidity channel. Consistent with this intuition, it documents differences in investor composition across US cities and shows that delegated investors concentrate investments in cities with higher turnover. It then calibrates a search model showing how heterogeneity in liquidity preferences makes some markets more liquid even when assets have identical cash flows. The calibration indicates that commercial real estate commands an illiquidity premium of two percentage points annually relative to a perfectly liquid asset with similar credit risk.
- Notes:
- Print version record
- June 2019.
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