Asset prices and liquidity in an exchange economy

Ricardo Lagos

No 373, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: 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 risk-free rate puzzle, are explored in a version of the model that nests the work of Mehra and Prescott (1985).

Keywords: Asset pricing; Liquidity (Economics) (search for similar items in EconPapers)
Date: 2006
New Economics Papers: this item is included in nep-bec, nep-dge and nep-fmk
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Citations: View citations in EconPapers (8)

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Related works:
Journal Article: Asset prices and liquidity in an exchange economy (2010)
Working Paper: Asset Prices and Liquidity in an Exchange Economy (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmsr:373

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