Over-the-counter markets
By: Darrell Duffie, Nicolae Garleanu, Lasse Heje Pedersen.
Contributors: Garleanu, Nicolae.; Pedersen, Lasse Heje.; National Bureau of Economic Research.
Series: NBER working paper series ;; working paper 10816; Working paper series (National Bureau of Economic Research : Online) ;; working paper no. 10816.
Publisher: National Bureau of Economic Research
Published: 2004
Place of publication: Cambridge, MA
Language: eng
Format: Electronic resource
Subjects: Over-the-counter markets.; Stocks.
Description: "We study how intermediation and asset prices in over-the-counter markets are affected by illiquidity associated with search and bargaining.  We compute explicitly the prices at which investors trade with each other as well as marketmakers' bid and ask prices in a dynamic model with strategic agents.  Bid-ask spreads are lower if investors can more easily find other investors, or have easier access to multiple marketmakers.  With a monopolistic marketmaker, bid-ask spreads are higher if investors have easier access to the marketmaker.  We characterize endogenous search and welfare, and discuss empirical implications"--National Bureau of Economic Research web site.
Notes: Includes bibliographical references.
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