Stenzel, André; Wagner, Wolf - In: Journal of Business Finance & Accounting 49 (2021) 5-6, pp. 658-689
We present a model that links the opacity of an asset to its liquidity. We show that 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. The …