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

DOI10.1016/J.JET.2020.105122MaRDI QIDQ2220935zbMATH OpenOpenAlexFDO

Authors Zijian Wang

Publication date 25 January 2021

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2020.105122

zbMATH Keywords

financial marketsmarket efficiencymonetary policyprivate information

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Financial markets (91G15)

Recommendations

• Imperfect information transmission and adverse selection in asset markets
• Adverse selection and liquidity distortion
• Adverse selection with heterogeneously informed agents
• Liquidity and asset prices in rational expectations equilibrium with ambiguous information
• Information, liquidity, and asset trading in a random matching game

Cites work

• A search-theoretic model of the term premium
• A tractable model of indirect asset liquidity
• Adverse selection and liquidity distortion
• Belief-based refinements in signalling games
• Credit markets, limited commitment, and government debt
• Decentralized trading with private information
• Frictional asset markets and the liquidity channel of monetary policy
• Frictional asset reallocation under adverse selection
• Imperfect information transmission and adverse selection in asset markets
• Incentives to produce quality and the liquidity of money
• Information, liquidity, asset prices, and monetary policy
• Informational Equilibrium
• Learning by Holding and Liquidity
• Money, credit and banking
• Outside versus inside bonds: a Modigliani-Miller type result for liquidity constrained economies
• Search with adverse selection
• Signaling Games and Stable Equilibria
• Societal benefits of illiquid bonds.
• Trading dynamics in decentralized markets with adverse selection
• Trading dynamics with adverse selection and search: market freeze, intervention and recovery
• Undefeated equilibria of the Shi-Trejos-Wright model under adverse selection

Cited in

(6)

• Adverse selection and liquidity distortion
• Trader Anonymity, Price Formation and Liquidity *
• Dividends as a signalling mechanism: the case of illiquid stock markets
• Asymmetric information in frictional markets for liquidity: collateralized credit vs asset sale
• The screening role of market tightness in a competitive search equilibrium with adverse selection
• Asymmetric information, asset markets, and the medium of exchange

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