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Liquidity as Social Expertise

Author

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  • Pablo Kurlat

    (Stanford University)

Abstract

I study a model of trading where publicly available information about assets has an unknown joint distribution with the quality of the underlying asset. Efficiency losses are a function of how well traders know this joint distribution, which can vary endogenous are traders learn from past trades.

Suggested Citation

  • Pablo Kurlat, 2014. "Liquidity as Social Expertise," 2014 Meeting Papers 520, Society for Economic Dynamics.
    • Handle: RePEc:red:sed014:520
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    Cited by:

    1. Jianxing Wei & Tong Xu, 2018. "A Model of Bank Credit Cycles," 2018 Meeting Papers 610, Society for Economic Dynamics.
    2. Roy, Partha P. & Rao, Sandeep & Zhu, Min, 2022. "Mandatory CSR expenditure and stock market liquidity," Journal of Corporate Finance, Elsevier, vol. 72(C).
    3. Chen, Yufeng & Wang, Chuwen & Zhu, Zhitao, 2022. "Toward the integration of European gas futures market under COVID-19 shock: A quantile connectedness approach," Energy Economics, Elsevier, vol. 114(C).
    4. He, Feng & Feng, Yaqian & Hao, Jing, 2023. "Corporate ESG rating and stock market liquidity: Evidence from China," Economic Modelling, Elsevier, vol. 129(C).
    5. A. Mantovi, 2019. "Information insensitivity, collateral flows and the logic of financial stability," Economics Department Working Papers 2019-EP01, Department of Economics, Parma University (Italy).
    6. Kim, Hayoung, 2022. "Heterogeneous effects of information disclosure: Evidence from housing markets," Journal of Economic Behavior & Organization, Elsevier, vol. 195(C), pages 359-380.
    7. Wei, Jianxing & Xu, Tong, 2024. "Banking supervision with loopholes," European Economic Review, Elsevier, vol. 161(C).
    8. Andrea Mantovi, 2018. "The monetary dimension of arbitrage. A brief note," Working Paper series 18-27, Rimini Centre for Economic Analysis, revised Oct 2018.
    9. Emilio Abad-Segura & Mariana-Daniela González-Zamar, 2020. "Global Research Trends in Financial Transactions," Mathematics, MDPI, vol. 8(4), pages 1-32, April.

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    More about this item

    JEL classification:

    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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