Liquidity discovery and asset pricing

  • Gallmeyer M
  • Hollifield B
  • Seppi D
  • 20


    Mendeley users who have this article in their library.
  • N/A


    Citations of this article.


Asset prices are random, in part, because of uncertainty about the preferences of potential counterparties and their future demands for securities. We call such randomness liquidity risk. We model the endogenous dynamics of liquidity risk, the risk premium for bearing liquidity risk, and the role of market trading in the liquidity discovery process through which investors form expectations about future liquidity. Our model also provides explanations for price support levels" and ights to quality."

Get free article suggestions today

Mendeley saves you time finding and organizing research

Sign up here
Already have an account ?Sign in

Find this document

There are no full text links


  • Michael Gallmeyer

  • B Hollifield

  • D Seppi

Cite this document

Choose a citation style from the tabs below

Save time finding and organizing research with Mendeley

Sign up for free