considered an indicator of either information flow or uncertainty. We show in a stylized model economy that both views suggest … market, volatility reflects information (uncertainty). We introduce a simultaneous time-varying coefficient model, where …

prices to cash ows and growth opportunities. Firms with more liquid stocks are expected to hold more cash, the opposite of … the prediction from a standard information asymmetry perspective on stock liquidity. The effect should be amplifed by … information asymmetry, inventory risks, and transaction costs …