A Search‐Based Theory of the On‐the‐Run Phenomenon
构建了一个模型，解释为何现金流相同的资产可以以不同价格交易。通过引入搜寻摩擦和卖空约束，内生地解释了某些资产流动性更好、借贷费更高且价格溢价的现象，对理解债券市场的“即期”现象有参考价值。
ABSTRACT We propose a model in which assets with identical cash flows can trade at different prices. Infinitely lived agents can establish long positions in a search spot market, or short positions by first borrowing an asset in a search repo market. We show that short‐sellers can endogenously concentrate in one asset because of search externalities and the constraint that they must deliver the asset they borrowed. That asset enjoys greater liquidity, a higher lending fee (“specialness”), and trades at a premium consistent with no‐arbitrage. We derive closed‐form solutions for small frictions, and provide a calibration generating realistic on‐the‐run premia.