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- W3146097279 abstract "The paper studies the equilibrium value of bid-ask spreads and time- to-trade in a continuous-time, intermediated fi?nancial market. The en- dogenous spreads are the price at which brokers are willing to offer imme- diacy. They include physical trading costs. Traders intervene optimally, when the portfolio mix reaches endogenously determined barriers. Spreads and times between successive trades are increasing with the difference in agents risk attitudes. They react asymmetrically to an increase in the difference of risk aversions, while they are symmetric in trading costs. We detect a bias towards cash. Optimal trade is drastically reduced when costs increase, so as to preserve the investors welfare. Random switches to a competitive market, to be interpreted as outside options, drastically reduce bid-ask fees." @default.
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- W3146097279 date "2011-01-01" @default.
- W3146097279 modified "2023-09-26" @default.
- W3146097279 title "Equilibrium price of immediacy and infrequent trade" @default.
- W3146097279 hasPublicationYear "2011" @default.
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