Asset classes
This paper proposes a theory of endogenous differences in liquidity of assets based on the interaction between differences in the risk of assets and differences in liquidity needs of investors. An equilibrium of the model, which always exists and is unique, displays a class structure, where investor...
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Institutional Knowledge at Singapore Management University
2021
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sg-smu-ink.soe_research-32902021-11-16T05:46:14Z Asset classes JACQUET, Nicolas L. This paper proposes a theory of endogenous differences in liquidity of assets based on the interaction between differences in the risk of assets and differences in liquidity needs of investors. An equilibrium of the model, which always exists and is unique, displays a class structure, where investors’ types sort themselves across different types of assets. I also provide a detailed analysis of the possible types of sorting and of the consequences for the cross-sectional properties of asset prices and their velocity. The framework can also be useful to think about what constitute a ""light-to-liquidity" and a "safe asset". 2021-04-01T07:00:00Z text application/pdf https://ink.library.smu.edu.sg/soe_research/2291 info:doi/10.1086/712736 https://ink.library.smu.edu.sg/context/soe_research/article/3290/viewcontent/Asset_Classes_av.pdf http://creativecommons.org/licenses/by-nc-nd/4.0/ Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asset Prices Classes Liquidity Behavioral Economics Political Economy |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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SMU Libraries |
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English |
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Asset Prices Classes Liquidity Behavioral Economics Political Economy |
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Asset Prices Classes Liquidity Behavioral Economics Political Economy JACQUET, Nicolas L. Asset classes |
| description |
This paper proposes a theory of endogenous differences in liquidity of assets based on the interaction between differences in the risk of assets and differences in liquidity needs of investors. An equilibrium of the model, which always exists and is unique, displays a class structure, where investors’ types sort themselves across different types of assets. I also provide a detailed analysis of the possible types of sorting and of the consequences for the cross-sectional properties of asset prices and their velocity. The framework can also be useful to think about what constitute a ""light-to-liquidity" and a "safe asset". |
| format |
text |
| author |
JACQUET, Nicolas L. |
| author_facet |
JACQUET, Nicolas L. |
| author_sort |
JACQUET, Nicolas L. |
| title |
Asset classes |
| title_short |
Asset classes |
| title_full |
Asset classes |
| title_fullStr |
Asset classes |
| title_full_unstemmed |
Asset classes |
| title_sort |
asset classes |
| publisher |
Institutional Knowledge at Singapore Management University |
| publishDate |
2021 |
| url |
https://ink.library.smu.edu.sg/soe_research/2291 https://ink.library.smu.edu.sg/context/soe_research/article/3290/viewcontent/Asset_Classes_av.pdf |
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