The Paradox of Financial Fire Sales: The Role of Arbitrage Capital in Determining Liquidity
研究了经济中存在资本充足但非专业投资者时，金融资产甩卖如何发生。结合理性预期均衡和“柠檬”模型，解释了信息不对称导致流动性危机和套利资本失效的机制。
ABSTRACT How can fire sales for financial assets happen when the economy contains well‐capitalized but nonspecialist investors? Our explanation combines rational expectations equilibrium and “lemons” models. When specialist (informed) market participants are liquidity‐constrained, prices become less informative. This creates an adverse selection problem, decreasing the supply of high‐quality assets, and lowering valuations by nonspecialist (uninformed) investors, who become unwilling to supply capital to support the price. In normal times, arbitrage capital can “multiply” itself by making uninformed capital function as informed capital, but in a crisis, this stabilizing mechanism fails.