出版品

　　This study examines the information role of liquidity by first showing that the trail of the two-stage valueupdating process of an individual security runs from the lagged liquidity return that contains the adverse-selection component to the lead true return. However, this phenomenon could be deceiving, if one thought that the lead true value of an individual security is only updated by the anticipated private information in its own lagged spread. At the portfolio level, we show that the lead true value of a security is actually updated by the anticipated private information in the lagged and contemporaneous spreads of all constituent securities in the portfolio. We call this panorama “the commonality in private information” JEL classification: G10; G20