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BEGIN:VEVENT
UID:56ed0ef895d9328d0444726844f8a66a
CATEGORIES:Seminars
CREATED:20190717T105634
SUMMARY:Lunch Seminar: Dejanir H. Silva - University of Illinois at Urbana-Champaign
DESCRIPTION;ENCODING=QUOTED-PRINTABLE:<p><span style="color: black;"><strong>Heterogeneity, Trading Frictions, an
 d Asset Prices</strong>, joint with Wei Cui</span> and Juan Passadore</p><p
 >Abstract:</p><p style="text-align: justify;"><span style="font-size: 11pt;
  font-family: 'Calibri','sans-serif'; color: black;">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.</span></p><p><span style="font-size: 
 12pt; font-family: 'Calibri','sans-serif'; color: black;"></span></p>
DTSTAMP:20260404T192325Z
DTSTART:20190723T130000Z
DTEND:20190723T140000Z
SEQUENCE:0
TRANSP:OPAQUE
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