Adverse Selection and the Required Return
研究逆向选择如何影响证券的必要回报率，发现买卖价差并非交易者的平均成本，但逆向选择会导致交易决策扭曲，从而产生配置成本并影响必要回报率。
An important feature of financial markets is that securities are traded repeatedly by asymmetrically informed investors. We study how current and future adverse selection affect the required return. We find that the bid-ask spread generated by adverse selection is not a cost, on average, for agents who trade, and hence the bid-ask spread does not directly influence the required return. Adverse selection contributes to trading-decision distortions, however, implying allocation costs, which affect the required return. We explicitly derive the effect of adverse selection on required returns, and show how our result differs from models that consider the bid-ask spread to be an exogenous cost. Copyright 2004, Oxford University Press.