| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10665 |
| DP10665 Opacity and Liquidity | |
| Wolf Wagner | |
| 发表日期 | 2015-06-21 |
| 出版年 | 2015 |
| 语种 | 英语 |
| 摘要 | We present a model that links the opacity of an asset to its liquidity. While low opacity assets are liquid, intermediate levels of opacity provide incentives for investors to acquire private information, causing adverse selection and illiquidity. High opacity, however, benefits liquidity by reducing the value of a unit of private information to investors. The cross-section of bid-ask spreads of U.S. firms is shown to be consistent with this hump-shape relationship between opacity and illiquidity. The analysis suggests that uniform disclosure requirements may not be desirable; optimal information provision can be achieved by subsidizing information. The model also delivers predictions about when it is optimal for asset originators to sell intransparent products or pools composed of correlated assets. |
| 主题 | Financial Economics |
| 关键词 | Asset liquidity Endogenous information acquisition Opacity |
| URL | https://cepr.org/publications/dp10665 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/539497 |
| 推荐引用方式 GB/T 7714 | Wolf Wagner. DP10665 Opacity and Liquidity. 2015. |
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