Abstract

http://ssrn.com/abstract=1294490
 
 

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Valuation in Dynamic Bargaining Markets


Darrell Duffie


Stanford University

Nicolae Garleanu


University of California, Berkeley - Haas School of Business; National Bureau of Economic Research (NBER); Centre for Economic Policy Research (CEPR)

Lasse Heje Pedersen


New York University (NYU); Copenhagen Business School; AQR Capital Management, LLC; Centre for Economic Policy Research (CEPR); National Bureau of Economic Research (NBER)

September 2001

NYU Working Paper No. FIN-01-022

Abstract:     
We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can trade only when they find each other. Marketmakers' prices are higher and bid-ask spreads are lower if investors can find each other more easily. Prices become Walrasian as investors' or marketmakers' search intensities get large. Endogenizing search intensities yields natural welfare implications. Information can fail to be revealed through trading when search is difficult.

Number of Pages in PDF File: 45

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Date posted: November 3, 2008  

Suggested Citation

Duffie, Darrell and Garleanu, Nicolae and Pedersen, Lasse Heje, Valuation in Dynamic Bargaining Markets (September 2001). NYU Working Paper No. FIN-01-022. Available at SSRN: http://ssrn.com/abstract=1294490

Contact Information

Darrell Duffie (Contact Author)
Stanford University
Stanford, CA 94305
United States
Nicolae Bogdan Garleanu
University of California, Berkeley - Haas School of Business ( email )
545 Student Services Building, #1900
2220 Piedmont Avenue
Berkeley, CA 94720
United States
HOME PAGE: http://faculty.haas.berkeley.edu/garleanu
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
Lasse Heje Pedersen
New York University (NYU) ( email )
Stern School of Business, Dept. of Finance
44 West 4th St, Suite 9-190
New York, NY 10003-711
United States
HOME PAGE: http://pages.stern.nyu.edu/~lpederse/
Copenhagen Business School ( email )
Solbjerg Plads 3
Frederiksberg C, DK - 2000
Denmark
AQR Capital Management, LLC ( email )
Greenwich, CT
United States
Centre for Economic Policy Research (CEPR) ( email )
77 Bastwick Street
London, EC1V 3PZ
United Kingdom
National Bureau of Economic Research (NBER)
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
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