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A Search‐Based Theory of the On‐the‐Run Phenomenon
Abstract
We propose a model in which assets with identical cash flows can trade at different prices. Infinitely lived agents can establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We show that short‐sellers can endogenously concentrate in one asset because of search externalities and the constraint that they must deliver the asset they borrowed. That asset enjoys greater liquidity, a higher lending fee (“specialness”), and trades at a premium consistent with no‐arbitrage. We derive closed‐form solutions for small frictions, and provide a calibration generating realistic on‐the‐run premia.
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Cites
Knife-Edge or Plateau: When Do Market Models Tip?
Ellison, G., & Fudenberg, D. (2003) · The Quarterly Journal of Economics · doi:10.1162/003355303322552793 · Cited by 156
Cited by
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Margin-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
Gromb, D., & Vayanos, D. (2010) · Annual Review of Financial Economics · doi:10.1146/annurev-financial-073009-104107 · Cited by 478
Self-citationLiquidity: A New Monetarist Perspective
Lagos, R., Rocheteau, G., & Wright, R. (2017) · Journal of Economic Literature · doi:10.1257/jel.20141195 · Cited by 267
Metadata
- Authors
- VAYANOS, D., & WEILL, P.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2008-05-09
- Volume
- 63
- Issue
- 3
- Pages
- 1361-1398
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123522471
- Cited by
- 355
- References
- 1
- FWCI
- 33.83
- Type
- journal article
- Language
- en
- Open access
- closed
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