The Liquidity Service of Benchmark Securities
证明基准证券能让信息不对称的投资者构建与信号完全一致的交易策略，从而消除系统性风险中的逆向选择，并激励更多投资者获取信息，提升所有个股的流动性和价格信息含量。
We demonstrate that benchmark securities allow heterogeneously informed investors to create trading strategies that are perfectly aligned with their signals. Investors who are informed about security-specific risks but uninformed about systematic risks can take an offsetting position in benchmark securities to eliminate exposure to adverse selection in systematic risks, while investors who are informed about systematic risks but uninformed about security-specific risks can trade systematic risks exclusively using benchmark securities. We further show that introduction of benchmark securities encourages more investors to acquire both security-specific and systematic-factor information, which leads to increased liquidity and price informativeness for all individual securities.