under asymmetric information. An endogenous composition effect emerges whereby high liquidity alters the quality of the pool … of sellers and decreases future liquidity. With impatient investors, cyclical equilibria arise: Price and volume … oscillate without any fundamental shock. With patient investors, the equilibrium is driven instead by a resale effect: Liquidity …

. I focus on environments in which an asset owner has private information about both her liquidity state and asset quality …, and so a buyer is uncertain about the owner's true motive for selling—whether it is because of a liquidity need or because …

relative to uninformed liquidity traders in over-the-counter financial markets. Dealers compete for information by chasing … entirely passed on to liquidity traders. Price dispersion and bid-ask spread endogenously arise from winner's curse. Both price … dispersion and price efficiency increase with the mass of liquidity traders. As long as speculators have slightly correlated …