Equilibrium valuation of illiquid assets

B-Tier
Journal: Economic Theory
Year: 2002
Volume: 19
Issue: 2
Pages: 223-242

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We develop an equilibrium model of illiquid asset valuation based on search and matching. We propose several measures of illiquidity and show how these measures behave. We also show that the equilibrium amount of search may be less than, equal to or greater than the amount of search that is socially optimal. Finally, we show that excess returns on illiquid assets are fair games if returns are defined to include the appropriate shadow prices.

Technical Details

RePEc Handle
repec:spr:joecth:v:19:y:2002:i:2:p:223-242
Journal Field
Theory
Author Count
2
Added to Database
2026-01-25