Firm Characteristics as Cross‐sectional Determinants of Adverse Selection
分析公司特征如何影响证券市场的逆向选择程度和流动性，发现固定资产比率和公用事业身份对逆向选择有额外解释力，对研究市场微观结构和公司透明度的学者有参考价值。
Abstract: We analyze the role of firm characteristics in determining the extent of adverse selection, and therefore liquidity, in securities markets. After controlling for the effects of the well‐established determinants of adverse selection, we find evidence that a firm's ratio of plant, property, and equipment to total book assets and its status as a public utility have additional explanatory power. To the extent that these variables are reasonable proxies for the firm's transparency of assets and regulatory environment, we assert these factors contribute to the adverse selection cost of transacting for our sample of NYSE listed S&P 500 firms.