Endogenous Liquidity in Asset Markets
分析了一个模型，其中长期风险资产因逆向选择而缺乏流动性，而逆向选择程度由非私人信息驱动的交易量内生决定。研究发现，更高的生产率会提升流动性，且流动性会放大生产率变化对投资和交易量的影响。
ABSTRACT This paper analyzes a model in which long‐term risky assets are illiquid due to adverse selection. The degree of adverse selection and hence the liquidity of these assets is determined endogenously by the amount of trade for reasons other than private information. I find that higher productivity leads to increased liquidity. Moreover, liquidity magnifies the effects of changes in productivity on investment and volume. High productivity implies that investors initiate larger scale risky projects which increases the riskiness of their incomes. Riskier incomes induce more sales of claims to high‐quality projects, causing liquidity to increase.