The effects of uncertainty on market liquidity: Evidence from Hurricane Sandy
以飓风桑迪为自然实验，研究发现受影响的房地产投资信托基金交易量减少、买卖价差扩大，证实了不确定性对市场功能的损害。
We test the effects of uncertainty on market liquidity using Hurricane Sandy as a natural experiment. Given the unprecedented strength, scale, and nature of the storm, the potential damages of a landfall near the Greater New York area were unpredictable and therefore uncertain. Using a difference-in-differences setting, we compare the market reactions of Real Estate Investment Trusts (REITs) with and without properties in the widely published evacuation zone of New York City prior to landfall. We find relatively less trading and wider bid-ask spreads in affected REITs. The results confirm theory on the detrimental effects of uncertainty on market functioning.