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1、CHAPTER19MarketLiquidity—TheoryandEmpiricalEvidence*DimitriVayanosaandJiangWangbaDimitriVayanos,DepartmentofFinance,LondonSchoolofEconomics,LondonWC2A2AE,UnitedKingdom,CEPRandNBERbSloanSchoolofManagement,MassachusettsInstituteofTechnology,CambridgeMA02142,USA,CAFRandNBERCon
2、tents1.Introduction12892.Theory12952.1Perfect-MarketBenchmark12972.2ParticipationCosts13002.3TransactionCosts13042.4AsymmetricInformation13092.5ImperfectCompetition13142.6FundingConstraints13222.7Search13283.EmpiricalEvidence13333.1EmpiricalMeasuresofIlliquidity13343.2Prope
3、rtiesofIlliquidityMeasures13413.3IlliquidityandAssetReturns13464.Conclusion1351References13521.INTRODUCTIONFinancialmarketsdeviate,tovaryingdegrees,fromtheperfect-marketidealinwhichtherearenoimpedimentstotrade.Tradeimpedimentsreducetheliquiditythatmar-ketsoffer.Alargeandgro
4、wingliteraturestudiesmarketliquidityanditsproperties.Theoreticalpaperstraceilliquidity,i.e.thelackofliquidity,tounderlyingmarketimper-fectionssuchasasymmetricinformation,differentformsoftradingcosts,andfundingconstraints.Theyalsostudyhowimperfectionsaffectexpectedassetretur
5、ns.Empiricalpapersestimatemeasuresofilliquidity,someofwhicharederivedfromtheoreticalmod-els,andrelatethemtoassetcharacteristicsandassetreturns.∗WethankBrunoBiais,JoostDriessen,DenisGromb,TerrenceHendershottandRonnieSadkaforveryhelpfulcomments.FinancialsupportfromthePaulWool
6、leyCentreattheLSEisgratefullyacknowledged.HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-459406-8.00019-6Allrightsreserved.12891290DimitriVayanosandJiangWangInthispaperwesurveythetheoreticalandempiricalliteratureonmarketliquidity.Weorgan
7、izethesurveyaroundthreebasicquestions:(a)howtomeasureilliquidity,(b)howilliquidityrelatestounderlyingmarketimperfectionsandotherassetcharacteristics,and(c)howilliquidityaffectsexpectedassetreturns.Weusethesethreequestionsasacommonframeworktoorganizeboththetheoreticalandthee
8、mpiricalliterature.Theoreticalpapersstudyavarietyofmarketimperfections,relyingondi
