TY  - BOOK
AU  - Vayanos,Dimitri
AU  - Wang,Jiang
ED  - National Bureau of Economic Research.
TI  - Market Liquidity -- Theory and Empirical Evidence
T2  - NBER working paper series
PY  - 2012///
CY  - Cambridge, Mass.
PB  - National Bureau of Economic Research
N1  - July 2012; Hardcopy version available to institutional subscribers
N2  - In this paper we survey the theoretical and empirical literature on market liquidity. We organize both literatures around three basic questions: (a) how to measure illiquidity, (b) how illiquidity relates to underlying market imperfections and other asset characteristics, and (c) how illiquidity affects expected asset returns. Using a unified model from Vayanos and Wang  (2010), we survey theoretical work on six main imperfections: participation costs, transaction costs, asymmetric information, imperfect competition, funding constraints, and search---and for each imperfection we address the three basic questions within that model. We review the empirical literature through the lens of the theory, using the theory to both interpret existing results and suggest new tests and analysis
UR  - https://www.nber.org/papers/w18251
UR  - http://dx.doi.org/10.3386/w18251
ER  -