BEGIN:VCALENDAR VERSION:2.0 PRODID:-//jEvents 2.0 for Joomla//EN CALSCALE:GREGORIAN METHOD:PUBLISH BEGIN:VEVENT UID:56ed0ef895d9328d0444726844f8a66a CATEGORIES:Seminars CREATED:20190717T105634 SUMMARY:Lunch Seminar: Dejanir H. Silva - University of Illinois at Urbana-Champaign DESCRIPTION;ENCODING=QUOTED-PRINTABLE:
Heterogeneity, Trading Frictions, an d Asset Prices, joint with Wei Cui and Juan Passadore
Abstract:
We develop an asset pr icing model with heterogeneous risk averse investors and search frictions. Trade is intermediated by risk-neutral dealers that trade in a competitive interdealer market. Investor’s direct their search towards markets characte rized by a probability of trade and a price. Posting orders in these market s is costly, for both investors and intermediaries. The investor’s willingn ess to trade depends on the expected deviations from the actual portfolio s hare to a target Mertonian portfolio. A larger deviation from the target po rtfolio leads to more intensive trading, a reduction in the probability of an order being executed, and an increase in the compensation of intermediar ies. In equilibrium, search frictions will affect both the level and variat ion of the liquidity and risk premia.
DTSTAMP:20240328T191326Z DTSTART:20190723T130000Z DTEND:20190723T140000Z SEQUENCE:0 TRANSP:OPAQUE END:VEVENT END:VCALENDAR