During the 20th century asset pricing became one of the most important elements of financial economics. We are now endowed with a solid set of theories that allow us to value assets under an increasingly realistic set of assumptions. Yet we still don’t have a good understanding of the relation between liquidity and asset prices. Actually, we don’t even have a realistic model that incorporates the most important parameters explaining an asset’s marketability or the depth of a market for a particular financial asset.
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