The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Valuation in Over-the-Counter Markets
Abstract
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 is larger. Supply shocks cause prices to jump, and then “recover” over time, with a time signature that is exaggerated by search frictions: The price jump is larger and the recovery is slower in less liquid markets. We discuss a variety of empirical implications.
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Shleifer, A., & Vishny, R. W. (1997) · The Journal of Finance · doi:10.1111/j.1540-6261.1997.tb03807.x · Cited by 5,291
Cited by
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
Self-citationPresidential Address: Asset Price Dynamics with Slow‐Moving Capital
DUFFIE, D. (2010) · The Journal of Finance · doi:10.1111/j.1540-6261.2010.01569.x · Cited by 854
Self-citationAmihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Self-citationMargin-based Asset Pricing and Deviations from the Law of One Price
Gârleanu, N., & Pedersen, L. H. (2011) · Review of Financial Studies · doi:10.1093/rfs/hhr027 · Cited by 649
Self-citationGromb, D., & Vayanos, D. (2010) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-073009-104107 · Cited by 478
Metadata
- Authors
- Duffie, D., Gârleanu, N., & Pedersen, L. H.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 2007-08-27
- Volume
- 20
- Issue
- 6
- Pages
- 1865-1900
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2122716125
- Cited by
- 518
- References
- 1
- FWCI
- 33.07
- Type
- journal article
- Language
- en
- Open access
- closed
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