Liquidity and private information in asset markets: To signal or not to signal

• 成果类型: Article
• 署名作者: Wang, Zijian
• 署名单位: Western University (University of Western Ontario)
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2020.105122
• 发表日期: 2020
• 关键词: Financial Markets; private information; market efficiency; monetary policy

摘要

This paper examines how multidimensional private information by asset sellers affects market equilibrium. I find that when asset quality is the only source of private information, sellers with high-quality assets signal their quality to buyers through partial retention of assets if and only if their liquidity holdings are large. However, when sellers' valuations of liquid assets are also private information, some sellers with high-quality assets signal their quality even if their liquidity holdings are small. The model is extended to study the implications for discount window lending and government asset purchases. (C) 2020 Elsevier Inc. All rights reserved.