When failure is an option: Fragile liquidity in over-the-counter markets
研究发现，若忽略交易失败，市场流动性可能被高估。以担保贷款凭证为例，考虑失败率和成本的即时性总成本远高于观察到的成本，低评级部分甚至接近交易收益的两倍，表明拍卖型场外市场在压力下脆弱且流动性差。
Markets can give false impressions of liquidity and stability if failed attempts to trade are ignored. For collateralized loan obligations, we quantify this bias by estimating the total cost of immediacy (TCI) which incorporates failure rates and failure costs. TCI is substantially higher than the observed cost, 0.3–3.8% versus 0.04–0.12% across credit-quality tranches because trade failures are frequent, failure costs are large, and failure costs and rates are correlated. TCI is almost double the realized gains from trade for low-rated tranches. Overall, auction-based over-the-counter markets become illiquid and fragile, especially during stressful periods for low-rated assets.