Search in Asset Markets: Market Structure, Liquidity, and Welfare
This paper investigates how market structure affects efficiency and several dimensions of liquidity in an asset market. To this end, we generalize the search-theoretic model of financial intermediation of Darrell Duffie et al. (2005) to allow for entry of dealers and unrestricted asset holdings.
JEL Classification: G11, G12, G21
Keywords: bid-ask spread, execution delay, liquidity, search, trade volume
Suggested citation: Lagos, Richard, and Guillaume Rocheteau, 2007. "Search in Asset Markets: Market Structure, Liquidity, and Welfare," Federal Reserve Bank of Cleveland, Working Paper no. 07-01.