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An Information-Based Theory of Time-Varying Liquidity

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  • BRENDAN DALEY
  • BRETT GREEN

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Suggested Citation

  • Brendan Daley & Brett Green, 2016. "An Information-Based Theory of Time-Varying Liquidity," Journal of Finance, American Finance Association, vol. 71(2), pages 809-870, April.
    • Handle: RePEc:bla:jfinan:v:71:y:2016:i:2:p:809-870
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    File URL: http://hdl.handle.net/10.1111/jofi.2016.71.issue-2
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    Citations

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    Cited by:

    1. Vladimir Asriyan & William Fuchs & Brett Green, 2017. "Information Spillovers in Asset Markets with Correlated Values," American Economic Review, American Economic Association, vol. 107(7), pages 2007-2040, July.
    2. Michael Fishman & Jonathan Parker & Ludwig Straub, 2019. "A Dynamic Theory of Lending Standards," 2019 Meeting Papers 1344, Society for Economic Dynamics.
    3. Mayer, Simon, 2022. "Financing breakthroughs under failure risk," Journal of Financial Economics, Elsevier, vol. 144(3), pages 807-848.
    4. Strobl, Günter, 2022. "A theory of procyclical market liquidity," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    5. Vladimir Asriyan & William Fuchs & Brett Green, 2019. "Liquidity Sentiments," American Economic Review, American Economic Association, vol. 109(11), pages 3813-3848, November.
    6. Manuel Adelino & Kristopher Gerardi & Barney Hartman-Glaser, 2016. "Are Lemons Sold First? Dynamic Signaling in the Mortgage Market," FRB Atlanta Working Paper 2016-8, Federal Reserve Bank of Atlanta.
    7. Asriyan, Vladimir & Fuchs, William & Green, Brett, 2021. "Aggregation and design of information in asset markets with adverse selection," Journal of Economic Theory, Elsevier, vol. 191(C).
    8. Joshua Bosshardt & Ali Kakhbod & Farzad Saidi, 2021. "The Bank Liquidity Channel of Financial (In)stability," ECONtribute Discussion Papers Series 108, University of Bonn and University of Cologne, Germany.
    9. Martel, Jordan, 2018. "Quality, price, and time-on-market," Economics Letters, Elsevier, vol. 171(C), pages 97-101.
    10. Robert Snigaroff & David Wroblewski, 2023. "Consumption with earnings, liquidity, and market based models," Review of Quantitative Finance and Accounting, Springer, vol. 60(2), pages 501-530, February.
    11. Choi, Michael, 2018. "Imperfect information transmission and adverse selection in asset markets," Journal of Economic Theory, Elsevier, vol. 176(C), pages 619-649.
    12. Hibbeln, Martin & Osterkamp, Werner, 2024. "The Impact of Risk Retention on Moral Hazard in the Securitization Market," Journal of Banking & Finance, Elsevier, vol. 163(C).
    13. Adelino, Manuel & Gerardi, Kristopher & Hartman-Glaser, Barney, 2019. "Are lemons sold first? Dynamic signaling in the mortgage market," Journal of Financial Economics, Elsevier, vol. 132(1), pages 1-25.

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