Risk Aversion, Market Liquidity, and Price Efficiency
分析了一个非竞争性投机市场模型，其中知情交易者和做市商都是风险厌恶的。研究发现市场流动性在知情交易者数量、风险厌恶程度和信息精度上呈非单调变化，且流动性交易增加会降低价格效率。
A model of a noncompetitive speculative market is analyzed in which privately informed traders and market makers are risk averse. Market liquidity is found to be nonmonotonic in the number of informed traders, their degree of risk aversion, and the precision of their information. It is also shown that increased liquidity trading leads to reduced priced efficiency, and that, under endogenous information acquisition, market liquidity may also be nonmonotonic in the variance of liquidity trades.