ADVERSE SELECTION WITH HETEROGENEOUSLY INFORMED AGENTS
研究了场外市场中，部分买家能识别高质量资产，而卖家有私人信息时，知情买家数量如何影响价格、交易量和福利，并可能引发类似金融危机的流动性骤降。
Abstract A model of over‐the‐counter markets is proposed. Some asset buyers are informed in that they can identify high‐quality assets. Sellers with private information choose what type of buyers they want to trade with. When the measure of informed buyers is low, a unique equilibrium exists, and interestingly, price, trading volume and welfare typically decrease with more informed buyers. When the measure of informed buyers is intermediate, multiple equilibria arise. A switch from one equilibrium to another can lead to large drops in liquidity, price, trading volume, and welfare, like a financial crisis. Implications of an endogenous measure of informed buyers are also studied.