I analyze how a security’s cash-flow rights and economic conditions shape its secondary-market liquidity. I develop a competitive bid–ask model with asymmetric information that has a unique equilibrium for a broad class of fundamental distributions and payoff functions, including nonlinear payoffs with flat regions. Separating payoff functions from fundamental distributions allows comparisons across securities and economic conditions. Positive location shifts of the fundamental distribution weakly...

We develop a model in which information about a firm’s value can be obtained from two sources: (i) voluntary disclosure by a firm’s manager, if she is informed, and (ii) an exogenous source – news – with uncertain accuracy, i.e., that may be real or fake. We focus on the case where the accuracy of the news is positively correlated with the manager’s information endowment,...