Endogenous Liquidity in Asset Markets
Article Abstract:
Increased liquidity is linked to higher productivity in a model in which adverse selection has caused risky long-term assets to become illiquid. Liquidity is found to magnify productivity changes on volume and investment, which in turn initiates risky projects of larger scales with riskier income fostering increased sales of claims to projects of high quality, thus increasing liquidity.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
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Asset pricing implications of nonconvex adjustment costs and irreversibility of investment
Article Abstract:
A study using the real options model, which accounts for the value premium, and examining the relationship between book value of assets and market value is presented. In case of irreversible real investments, a distressed firm's book value of assets is highly relative to the market value because it has idle physical capital.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2006
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Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets
Article Abstract:
Analysis shows that transaction cost can significantly affect trading volume, and may dramatically decrease the relevance of stock return predictability. Discussion also includes the optimal investment policy under uncorrelated asset returns.
Publication Name: Journal of Finance
Subject: Business
ISSN: 0022-1082
Year: 2004
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