Dynamic Adverse Selection: A Theory of Illiquidity, Fire Sales, and Flight to Quality
构建了一个存在逆向选择的资产市场动态均衡模型，解释了高质量资产为何在流动性较差的市场中价格更高但股息率更低，以及信息分布变化如何引发抛售和避险行为。
We develop a dynamic equilibrium model of asset markets with adverse selection. There exists a unique equilibrium in which better quality assets trade at higher prices but with a lower price-dividend ratio in less liquid markets. Sellers of high-quality assets signal quality by accepting a lower trading probability. We show how the distribution of sellers' private information affects an asset's price and liquidity, how a change in that distribution can cause a fire sale and a flight to quality, and how asset purchase and subsidy programs may raise prices and liquidity and reverse the flight to quality.