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.

Methods, Models, Liquidity (Finance)

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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.

United States, Analysis, Market value

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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.

Comparative analysis, Return on investment, Investment analysis, Securities analysis, Rate of return

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