Asset prices and liquidity in an exchange economy

Ricardo Lagos

    Research output: Contribution to journalArticlepeer-review

    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.

    Original languageEnglish (US)
    Pages (from-to)913-930
    Number of pages18
    JournalJournal of Monetary Economics
    Volume57
    Issue number8
    DOIs
    StatePublished - Nov 2010

    ASJC Scopus subject areas

    • Finance
    • Economics and Econometrics

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