Catching Falling Knives: Speculating on Liquidity Shocks
研究交易者利用流动性信息而非基本面信息进行投机，短期内可减少定价错误，但长期会因信号干扰效应而减缓价格发现过程。
Many market participants invest resources to acquire information about liquidity rather than fundamentals. I show that agents using such information can reduce the magnitude of short-lived pricing errors by trading against liquidity shocks. However, the short-run stabilizing effect of this behavior also makes it more difficult to identify liquidity shocks, a signal-jamming effect that slows down price discovery in the long run. As more agents invest in nonfundamental information, market prices become more resilient to liquidity shocks but also recover more slowly from temporary price deviations. This paper was accepted by Gustavo Manso, finance.