Waiting for News in the Market for Lemons
研究了在动态市场中，关于卖方资产价值的随机信息逐步披露时，市场可能经历无交易期，最终因好消息恢复或坏消息导致低价资产抛售，并分析了信息质量对效率的影响。
We study a dynamic setting in which stochastic information (news) about the value of a privately informed seller's asset is gradually revealed to a market of buyers. We construct an equilibrium that involves periods of no trade or market failure. The no-trade period ends in one of two ways: either enough good news arrives, restoring confidence and markets reopen, or bad news arrives, making buyers more pessimistic and forcing capitulation that is, a partial sell-off of low-value assets. Conditions under which the equilibrium is unique are provided. We analyze welfare and efficiency as they depend on the quality of the news. Higher quality news can lead to more inefficient outcomes. Our model encompasses settings with or without a standard static adverse selection problem—in a dynamic setting with sufficiently informative news, reservation values arise endogenously from the option to sell in the future and the two environments have the same equilibrium structure.