Asset Pricing Equilibria with Indivisible Goods
Han Han (),
Benoit Julien (),
Asgerdur Petursdottir () and
Liang Wang ()
Additional contact information
Han Han: School of Economics Peking University
Asgerdur Petursdottir: University of Bath
Liang Wang: University of Hawaii Manoa
No 201705, Working Papers from University of Hawaii at Manoa, Department of Economics
We study asset pricing of divisible assets based on consumption decisions of indivisible goods in a frictional market. Indivisibility matters for equilibria along with the trading mechanism. Bargaining generates a good's price that is not linked to the dividend value of the asset or the number of active buyers of the asset. In contrast, competitive search generates a price as a continuous function of the dividend and the number of buyers. In both cases, when the asset supply is scarce, the asset price bears a liquidity premium that closely relates to the dividend and the number of buyers. We also find that, for positive dividend values on the asset, unique stationary asset price equilibrium exists, while for negative dividend values, multiple equilibria occur. We show that lotteries are not used in any equilibria, but sellers are able to extract a positive surplus under bargaining with lotteries.
Keywords: Asset; Competitive Search; Indivisibility; Lottery; Nash Bargaining (search for similar items in EconPapers)
JEL-codes: D51 G12 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed
Downloads: (external link)
http://www.economics.hawaii.edu/research/workingpapers/WP_17-05.pdf First version, 2017 (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hai:wpaper:201705
Ordering information: This working paper can be ordered from
http://www.economics ... esearch/working.html
Access Statistics for this paper
More papers in Working Papers from University of Hawaii at Manoa, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Web Technician ().