Adverse Selection and Liquidity Distortion
构建了一个资产市场二维信息不对称模型，卖方私下知晓资产质量和困境状况，内生流动性不足表现为两种市场结果：交易量枯竭或大量折价交易，后者即抛售，其发生取决于买方对卖方紧急需求与资产质量关系的预期。
This article develops a tractable model with two-dimensional asymmetric information in asset markets: sellers are privately informed about their asset quality and distress positions. Illiquidity arises endogenously and manifests itself through two distinct market outcomes. The first outcome features limited market participation, resulting in a dry-up in trading volume. The second outcome involves a large volume at a depressed price. Only in the latter outcome do distressed sellers engage in fire sales, quickly unwinding their positions at a steep price discount. The article further establishes that this equilibrium can arise only when buyers expect that sellers with a higher need for immediacy will on average have higher-quality assets. Hence, both the information structure and the distribution of sellers' distress are crucial for the existence of fire sales. © The Author 2017.