NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Liquidity and Asset Prices: A Unified Framework

Dimitri Vayanos, Jiang Wang

NBER Working Paper No. 15215
Issued in August 2009

---- Acknowledgements -----

We thank Nicolae Garleanu, Anya Obizhaeva, Maureen O'Hara, Anna Pavlova, Vish Viswanathan, Kathy Yuan, seminar participants at LSE, and conference participants at the Oxford conference on Liquidity for helpful comments. Financial support from the Paul Woolley Centre at the LSE is gratefully acknowledged. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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