We investigate how trading frictions in asset markets affect portfolio choices, asset prices and efficiency. We generalize the search-theoretic model of financial intermediation of Duffie, Gacirc;rleanu and Pedersen (2005) to allow for more general preferences and idiosyncratic shock structure,...

This paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings

We study how trading frictions in asset markets affect the distribution of asset holdings, asset prices, efficiency, and standard measures of liquidity. To this end, we analyze the equilibrium and optimal allocations of a search-theoretic model of financial intermediation similar to Duffie,...

I develop an asset-pricing model in which financial assets are valued for their liquidity-the extent to which they are useful in facilitating exchange-as well as for being claims to streams of consumption goods. The implications for average asset returns, the equity-premium puzzle and the...

This document is the result of the Rural Territorial Dynamics Program, implemented by Rimisp in several Latin American countries in collaboration with numerous partners. The program has been supported by the International Development Research Center (IDRC, Canada). We authorize the...