主题：A Pure Model of Liquidity Trading
主讲人：Swaminathan Balasubramaniam, Washington University (St. Louis)
主持人：金融研究院院长 Prof. Philip Dybvig
How are asset prices affected by an agent's anticipated need for liquidity? We study a pure model of liquidity trading by an agent who faces a menu of assets with exogenously given terminal payoffs and associated liquidation values. In our setting, the agent faces a probabilistic interim liquidity shock and chooses which assets to liquidate. Anticipating these liquidations, the agent forms an optimal portfolio of assets with different degrees of liquidity. Assets with high liquidation values are liquidated in every state while assets with high terminal values are never liquidated in equilibrium. Depending on the size of the liquidity shock, some assets are liquidated only in some states and not in others. In a rational expectations equilibrium setting, we show that the prices of liquidation options in the economy adhere to a strictly convex pricing rule: highly liquid assets which can be liquidated in several states of the world (corresponding to various liquidity shock values) command a higher price than illiquid assets that are liquidated only in few states. Thus, we offer a novel explanation to the empirically established concave liquidity-return relationship (equivalently convex prices).