SFB 303 Discussion Paper No. A - 502

Author: Bettzüge, Marc-Oliver
Title: Endogenous Asset Structures with Transaction Costs
Abstract: This note studies a financial markets model with per unit transaction costs which are decreasing with the liquidity of the specific asset. The generic existence of non-trivial Walrasian equilibria is established and the properties of the equilibrium pricing function are discussed. Most importantly, it is shown that the number of assets actually traded is bounded above irrespectively of the number of assets available for trade.
Keywords: Incomplete Markets, Transaction Costs, Liquidity, Endogenous Asset Structures.
JEL-Classification-Number: C62, D52, G12
Creation-Date: 1995 URL: ../1995/a/bonnsfa502.pdf

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