Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition

• 成果类型: Article
• 署名作者: Vayanos, Dimitri; Wang, Jiang
• 署名单位: University of London; London School Economics & Political Science; Centre for Economic Policy Research - UK; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr128
• 发表日期: 2012
• 页码: 1339
• 关键词: Adverse selection; trading volume; cross-section; MARKET; illiquidity; price

摘要

We analyze how asymmetric information and imperfect competition affect liquidity and asset prices. Our model has three periods: Agents are identical in the first, become heterogeneous and trade in the second, and consume asset payoffs in the third. We show that asymmetric information in the second period raises ex ante expected asset returns in the first, comparing both to the case where all private signals are made public and to that where private signals are not observed. Imperfect competition can instead lower expected returns. Each imperfection can move common measures of illiquidity in opposite directions.