search query: @author O'Hara, M. / total: 25
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| Author: | O'Hara, M. |
| Title: | Presidential address: liquidity and price discovery |
| Journal: | Journal of Finance
2003 : AUG, VOL. 58:4, p. 1335-1354 |
| Index terms: | Microeconomics Asset valuation Market structure |
| Language: | eng |
| Abstract: | The paper examines the implications of market microstructure for asset pricing. The author argues that asset pricing ignores the central fact that asset prices evolve in markets. Markets provide liquidity and price discovery; the author argues that asset pricing models need to be recast in broader terms to incorporate the transactions costs of liquidity and the risks of price discovery, and that symmetric information-based asset pricing models do not work because they assume that the underlying problems of liquidity and price discovery have been solved. The author develops an asymmetric information asset pricing model that incorporates these effects. |
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