금융 분야 세미나를 아래와 같이 개최하오니, 관심 있는 분들의 많은 참석 부탁 드립니다.

1. 일시: 2020년 2월 13일 (목), 16:00~17:30
2. 장소: SUPEX 경영관, 301호 강의실
3. 강사: 신승훈 교수 (Aalto University School of Business)
4. 주제: The More Illiquid, The More Expensive: A Search-Based Explanation of Illiquidity Premium
5. 연구분야: 금융
* Lecture will be delivered in English.

________________________________________

[Abstract]
Using a search-based trading model, we show that either illiquidity price premium or discount can arise endogenously for two assets with identical fundamentals. Liquidity difference between the two assets may diverge with trades concentrating in one market in a self-reinforcing manner depending on the relative strength of buying or selling pressure. When buyers are marginal investors due to strong buying pressure, prices are determined by buyers' tradeoff between immediacy and trading gains, generating illiquidity price discount. When sellers are marginal investors due to strong selling pressure, however, illiquidity price premium arises. Using an identification strategy that exploits same-issuer bonds but with differing liquidity, we confirm these theoretical predictions by showing that illiquid bonds have higher prices than liquid bonds during fire-sale episodes, while liquid bonds carry higher prices in normal periods.