An Information‐Based Theory of Time‐Varying Liquidity
提出一个基于信息的理论，解释流动性随时间变化的原因，并联系资产市场的多种模式，预测坏消息后可能发生传染性抛售。
ABSTRACT We propose an information‐based theory to explain time variation in liquidity and link it to a variety of patterns in asset markets. In “normal times,” the market is fully liquid and gains from trade are realized immediately. However, the equilibrium also involves periods during which liquidity “dries up,” which leads to endogenous liquidation costs. Traders correctly anticipate such costs, which reduces their willingness to pay. This foresight leads to a novel feedback effect between prices and market liquidity, which are jointly determined in equilibrium. The model also predicts that contagious sell‐offs can occur after sufficiently bad news.