Learning by Owning in a Lemons Market

• 成果类型: Article
• 署名作者: MARTEL, J. O. R. D. A. N.; MIRKIN, K. E. N. N. E. T. H.; WATERS, B. R. I. A. N.
• 署名单位: Indiana University System; IU Kelley School of Business; Indiana University Bloomington; University of Colorado System; University of Colorado Boulder
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13125
• 发表日期: 2022
• 页码: 1737-1785
• 关键词: Adverse selection; durable goods; INFORMATION

摘要

We study market dynamics when an owner learns about the quality of her asset over time. Since this information is private, the owner sells strategically to a less informed buyer following sufficient negative information. In response, market prices feature a U-shape and trading probabilities a hump-shape with respect to the time to sale. As the owner initially acquires greater information, buyers suffer greater adverse selection, and prices fall accordingly. Eventually, the probability of an informed sale shrinks, and prices rebound. We provide evidence consistent with our model in markets for residential real estate, venture capital investments, and construction equipment.