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Benign Granularity in Asset Markets

https://doi.org/10.2139/ssrn.5200216
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Outgoing claims: the papers this work cites, builds on, or argues with.

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Equilibrium interest rate and liquidity premium with transaction costs
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Oligopoly “A la cournot” in a general equilibrium analysis
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Bilateral trade with the sealed bid k-double auction: Existence and efficiency
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Partially-revealing rational expectations equilibrium in a competitive economy
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Asset pricing and the bid-ask spread
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Counterparty risk externality: Centralized versus over-the-counter markets
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Information and strategic behavior
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Bilateral Trading in Divisible Double Auctions
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Asset pricing with liquidity risk
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Asset Fire Sales (and Purchases) in Equity Markets
inferredcites →https://doi.org/10.1016/j.jfineco.2017.08.002openalex-snapshot
Intermediary asset pricing: New evidence from many asset classes
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Rational panics and stock market crashes
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Illiquidity and stock returns: cross-section and time-series effects
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The Dynamics of Institutional and Individual Trading
inferredcites →https://doi.org/10.1086/261410openalex-snapshot
Capital Market Equilibrium with Transaction Costs
inferredcites →https://doi.org/10.1086/701683openalex-snapshot
A Demand System Approach to Asset Pricing
inferredcites →https://doi.org/10.1093/rapstu/raw003openalex-snapshot
The Noninformation Cost of Trading and Its Relative Importance in Asset Pricing
inferredcites →https://doi.org/10.1093/restud/rdu023openalex-snapshot
Demand Reduction and Inefficiency in Multi-Unit Auctions
inferredcites →https://doi.org/10.1093/restud/rdv012openalex-snapshot
On Existence and Uniqueness of Equilibrium in a Class of Noisy Rational Expectations Models: Figure 1
inferredcites →https://doi.org/10.1093/restud/rdx017openalex-snapshot
Smooth Trading with Overconfidence and Market Power
inferredcites →https://doi.org/10.1093/rfs/hhaa124openalex-snapshot
Funding Constraints and Informational Efficiency
inferredcites →https://doi.org/10.1093/rfs/hhac069openalex-snapshot
Illiquidity and Higher Cumulants
inferredcites →https://doi.org/10.1093/rfs/hhn098openalex-snapshot
Market Liquidity and Funding Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhv027openalex-snapshot
Dynamic Thin Markets
inferredcites →https://doi.org/10.1093/rof/rfaa016openalex-snapshot
What Constrains Liquidity Provision? Evidence from Institutional Trades
inferredcites →https://doi.org/10.1111/0022-1082.00361openalex-snapshot
Do Financial Institutions Matter?
inferredcites →https://doi.org/10.1111/1467-937x.00086openalex-snapshot
Strategic Trading and Welfare in a Dynamic Market
inferredcites →https://doi.org/10.1111/1467-9965.00106openalex-snapshot
On the Existence of Linear Equilibria in Models of Market Making
inferredcites →https://doi.org/10.1111/j.1468-0262.2005.00639.xopenalex-snapshot
Over-the-Counter Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1995.tb04053.xopenalex-snapshot
The Behavior of Stock Prices Around Institutional Trades
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00651.xopenalex-snapshot
International Evidence on Institutional Trading Behavior and Price Impact
inferredcites →https://doi.org/10.1111/j.1540-6261.2005.00733.xopenalex-snapshot
Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crises, Contagion, and Confusion
inferredcites →https://doi.org/10.1111/jofi.12189openalex-snapshot
Financial Intermediaries and the Cross‐Section of Asset Returns
inferredcites →https://doi.org/10.1257/aer.103.5.1728openalex-snapshot
Asset Prices and Institutional Investors
inferredcites →https://doi.org/10.1257/aer.99.4.1119openalex-snapshot
Portfolio Claustrophobia: Asset Pricing in Markets with Illiquid Assets
inferredcites →https://doi.org/10.1287/mnsc.2020.3808openalex-snapshot
The Granular Nature of Large Institutional Investors
inferredcites →https://doi.org/10.1561/0500000014openalex-snapshot
Theories of Liquidity
inferredcites →https://doi.org/10.2139/ssrn.2449264openalex-snapshot
Information and Volatility
inferredcites →https://doi.org/10.2307/1884475openalex-snapshot
Auctions of Shares
inferredcites →https://doi.org/10.2307/1912702openalex-snapshot
Aggregation of Information in Large Cournot Markets
inferredcites →https://doi.org/10.2307/2296904openalex-snapshot
A Bidding Model of Perfect Competition
inferredcites →https://doi.org/10.2307/2297551openalex-snapshot
Informed Speculation with Imperfect Competition
inferredcites →https://doi.org/10.2307/2951506openalex-snapshot
Convergence to Efficiency in a Simple Market with Incomplete Information
inferredcites →https://doi.org/10.3982/ecta12043openalex-snapshot
Trading and Information Diffusion in Over-the-Counter Markets
inferredcites →https://doi.org/10.3982/ecta8126openalex-snapshot
Strategic Supply Function Competition With Private Information
inferredcites →https://doi.org/10.3982/ecta9573openalex-snapshot
Price Inference in Small Markets
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