Liquidity Fluctuations in Over-the-Counter Markets
提出一个理论解释场外二级市场中过度的价格波动，当异质资产在信息不对称下交易时，高流动性会降低卖方质量并减少未来流动性，即使没有基本面冲击也可能出现周期性均衡。
ABSTRACT This paper proposes a theory of excess price fluctuations in over‐the‐counter secondary markets. When heterogeneous assets trade under asymmetric information, a quality effect emerges: high liquidity lowers the quality of the pool of sellers and decreases future liquidity. Cyclical equilibria can arise even without fundamental shocks. In a cycle, investors speculate by bidding up the price of low‐quality assets, anticipating a high resale price at the peak. When this resale effect is strong, cycles disappear and multiple steady states coexist with different levels of liquidity. The model rationalizes empirical patterns for corporate bonds and housing in particular.