Information, Liquidity, and Asset Trading in a Random Matching Game
构建了一个序贯随机匹配的资产交易模型，分析市场中关于资产的信息如何影响其可交易性。流动性交易者因耐心较低而做出最优跨期消费决策，信息不对称导致交易无法执行，最终使得预期收益较低但流动性较高的资产出现流动性溢价和更高的交易量。
This paper develops a sequential random matching model of asset trading to analyze how the extent of information about an asset that is available in the market can affect its tradeability. Liquidity traders are rational agents with higher impatience, which make optimal intertemporal consumption decisions given the trading constraints. Information asymmetries result in unexecuted trades. Agents who want to consume relatively early optimally choose to exchange initial assets for new assets that have lower expected payoff but are more liquid in subsequent trading. These assets have a lower expected rate or return (i.e., a liquidity premium) and higher trading volume.Journal of Economic LiteratureClassification Numbers: D83, G11, G14.