Valuation in Over-the-Counter Markets

We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under natural conditions, prices are lower and illiquidity discounts 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.(...)

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Year of publication:	2004-11-15
Authors:	Duffie, Darrell ; Gârleanu, Nicolae ; Pedersen, Lasse Heje
Publisher:	Salomon Center <New York, NY>
Subject:	Außerbörslicher Wertpapierhandel \| security trading \| Bewertung \| Preismodell \| price structure

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Extent:	271360 bytes 32 p. application/pdf
Series:	NYU Salomon Center for the Study of Financial Institutions - Publications Arbeitspapier - NYU Salomon Center for the Study of Financial Institutions - Macro-Finance ; S-MF-04-04
Type of publication:	Book / Working Paper
Language:	English
Classification:	D4 - Market Structure and Pricing ; D52 - Incomplete Markets ; D83 - Search, Learning, Information and Knowledge ; G1 - General Financial Markets ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; Management of financial services: stock exchange and bank management science (including saving banks) ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005846988