(When) Does transparency hurt liquidity?

• Main Authors: BALAKRISHNAN, Karthik, ERTAN, Aytekin, LEE, Yun Je
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2020
• Subjects: liquidity; disclosure; securitization; information sensitivity; regulation; MBS; ABS; Accounting
• Online Access: https://ink.library.smu.edu.sg/soa_research/1844; https://ink.library.smu.edu.sg/context/soa_research/article/2871/viewcontent/SSRN_id3447412.pdf
• Institution: Singapore Management University

Conventional wisdom suggests that increases in public information improve market liquidity. However, if greater public information incentivizes only sophisticated investors to produce private information, it could exacerbate information asymmetry among investors and thus reduce liquidity. We explore...