Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second p...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Article |
| Language: | en_US |
| Published: |
Oxford University Press
2014
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| Online Access: | http://hdl.handle.net/1721.1/88146 https://orcid.org/0000-0002-8261-0261 |
| _version_ | 1811070843089846272 |
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| author | Wang, Jiang Vayanos, Dimitri |
| author2 | Sloan School of Management |
| author_facet | Sloan School of Management Wang, Jiang Vayanos, Dimitri |
| author_sort | Wang, Jiang |
| collection | MIT |
| description | We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second period raises ex ante expected asset returns in the first, comparing both to the case where all private signals are made public and to that where private signals are not observed. Imperfect competition can instead lower expected returns. Each imperfection can move common measures of illiquidity in opposite directions. |
| first_indexed | 2024-09-23T08:42:31Z |
| format | Article |
| id | mit-1721.1/88146 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T08:42:31Z |
| publishDate | 2014 |
| publisher | Oxford University Press |
| record_format | dspace |
| spelling | mit-1721.1/881462022-09-23T13:58:25Z Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition Wang, Jiang Vayanos, Dimitri Sloan School of Management Wang, Jiang We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second period raises ex ante expected asset returns in the first, comparing both to the case where all private signals are made public and to that where private signals are not observed. Imperfect competition can instead lower expected returns. Each imperfection can move common measures of illiquidity in opposite directions. 2014-06-30T18:12:19Z 2014-06-30T18:12:19Z 2011-11 Article http://purl.org/eprint/type/JournalArticle 0893-9454 1465-7368 http://hdl.handle.net/1721.1/88146 Vayanos, D., and J. Wang. “Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition.” Review of Financial Studies 25, no. 5 (May 1, 2012): 1339–1365. https://orcid.org/0000-0002-8261-0261 en_US http://dx.doi.org/10.1093/rfs/hhr128 Review of Financial Studies Creative Commons Attribution-Noncommercial-Share Alike http://creativecommons.org/licenses/by-nc-sa/4.0/ application/pdf Oxford University Press Other repository |
| spellingShingle | Wang, Jiang Vayanos, Dimitri Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition |
| title | Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition |
| title_full | Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition |
| title_fullStr | Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition |
| title_full_unstemmed | Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition |
| title_short | Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition |
| title_sort | liquidity and asset returns under asymmetric information and imperfect competition |
| url | http://hdl.handle.net/1721.1/88146 https://orcid.org/0000-0002-8261-0261 |
| work_keys_str_mv | AT wangjiang liquidityandassetreturnsunderasymmetricinformationandimperfectcompetition AT vayanosdimitri liquidityandassetreturnsunderasymmetricinformationandimperfectcompetition |