We study the impact on asset prices of illiquidity associated with search and bargaining in an economy in which agents can interact only when they find each other. Even when market makers are present, investors' ability to meet directly is shown to be important. Prices are higher and bid-ask spreads lower if investors can find each other more easily. Prices approach the Walrasian price if investors' search intensity increases or if market makers, who do not have all bargaining power, search more intensely. Endogenizing search intensities yields natural implications. Lastly, we show that information can fail to be revealed through prices when search is difficult.
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