Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition
研究了非对称信息和不完全竞争如何影响流动性和资产价格，发现非对称信息会提高预期回报，而不完全竞争则可能降低预期回报，且两者对流动性指标的影响方向相反。
Abstract We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second period raises ex ante expected asset returns in the first, comparing both to the case where all private signals are made public and to that where private signals are not observed. Imperfect competition can instead lower expected returns. Each imperfection can move common measures of illiquidity in opposite directions.