This study extends the classic Capital Asset Pricing Model (CAPM) by relaxing the assumptions that all assets are perfectly divisible and liquid, and that investors face the same set of investment opportunities. It is assumed that investors can invest in two types of assets: perfectly divisible, and perfectly indivisible (or discrete). Also, investors may face different sets of investment oppor...

Authors' A Oncology, Netherland Medicine Pharmaceu Correspon icine, Radb HB Nijmeg 3618942. E

Bank liquidity is a crucial determinant of the severity of banking crises. In this paper, we consider the e¤ect of …re sales and foreign entry on banks’ex ante choice of liquid asset holdings, and the ex post resolution of crises. In a setting with limited pledgeability of risky cash ‡ows and di¤erential expertise between banks and outsiders in employing banking assets, the market for assets cl...

To reduce the risk of another financial crisis, the Dodd-Frank Act requires that trading in certain derivatives be backed by clearinghouses. Critics mount two main objections: a clearinghouse shifts risk instead of reducing it; and a clearinghouse could fail, requiring a bailout. This Article's observation that clearinghouses engage in liquidity partitioning answers both. Liquidity partitioning...

So far the main body of the asset pricing literature has computed liquidity risk premia for either markets or single assets. The vast majority of these studies have been focused on fairly liquid assets, but recently a greater attempt to price such an important component of the asset pricing factors in markets with high illiquidity (especially in real estate) has also started to take place. The ...

This paper describes the Italian real estate investment funds industry, providing an overview of the distinctive features and risk factors of this sector. By using accounting and supervisory data, we: (1) compute the returns of the real estate assets in the portfolio of these funds; (2) construct a price index and a total return index of the real estate assets held by the Italian funds; (3) def...

The consumption of households with liquid financial assets responds much more to transitory income shocks than the permanent-income hypothesis predicts. That is, middle class households with assets act as if they face liquidity constraints. This paper addresses this puzzling observation with a model of impatient households that face a large recurring expenditure. In spite of impatience, they sa...

The consumption of households with liquid financial assets responds much more to transitory income shocks than the permanent-income hypothesis predicts. That is, middle class households with assets act as if they face liquidity constraints. This paper addresses this puzzling observation with a model of impatient households that face a large recurring expenditure. In spite of impatience, they sa...