Liquidity and Market Crashes
构建了一个股票市场流动性均衡模型，说明即使交易需求匹配，高昂的市场参与成本也会导致内生性订单失衡和流动性需求，进而引发无外部冲击下的市场崩盘，并解释了流动性对预期收益、收益序列相关性和交易量的影响。
In this paper, we develop an equilibrium model for stock market liquidity and its impact on asset prices when constant market presence is costly. We show that even when agents' trading needs are perfectly matched, costly market presence prevents them from synchronizing their trades and hence gives rise to endogenous order imbalances and the need for liquidity. Moreover, the endogenous liquidity need, when it occurs, is characterized by excessive selling of significant magnitudes. Such liquidity-driven selling leads to market crashes in the absence of any aggregate shocks. Finally, we show that illiquidity in the market leads to high expected returns, negative and asymmetric return serial correlation, and a positive relation between trading volume and future returns. We also propose new measures of liquidity based on its asymmetric impact on prices and demonstrate a negative relation between these measures and expected stock returns.