Asset prices and liquidity in an exchange economy

Ricardo Lagos

Journal of Monetary Economics, 2010, vol. 57, issue 8, 913-930

Abstract: An asset-pricing model is developed, 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 theory is used to study the implications of this liquidity channel for average asset returns, the equity-premium puzzle and the risk-free rate puzzle.

Date: 2010
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (176)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304-3932(10)00128-5
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Asset prices and liquidity in an exchange economy (2006)
Working Paper: Asset Prices and Liquidity in an Exchange Economy (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:moneco:v:57:y:2010:i:8:p:913-930

Access Statistics for this article

Journal of Monetary Economics is currently edited by R. G. King and C. I. Plosser

More articles in Journal of Monetary Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().