Valuation in Over-the-Counter Markets
研究场外市场中搜索与讨价还价摩擦对资产价格的影响，发现交易对手难找、卖方议价能力弱等条件会压低价格并提高非流动性折扣，并讨论了金融应用与可检验的推论。
We provide the impact on asset prices of search-and-bargaining frictions in over-the-counter markets. Under natural conditions, prices are lower and illiquidity discounts higher when counterparties are harder to nd, when sellers have less bargaining power, when the frac-tion of qualied owners is smaller, or when risk aversion, volatility, or hedging demand are larger. If agents face risk limits, then higher volatility leads to greater diculty locating unconstrained buyers, re-sulting in lower prices. Information can fail to be revealed through trading when search is dicult. We discuss a variety of nancial ap-plications and testable implications. This paper includes work previously distributed under the title \\Valuation in Dynamic Bargaining Markets. " We are grateful for conversations with Yakov Amihud, Helmut