This paper explains that anticipated market liquidity is an important concern for arbitrageurs considering entry into a market, a concern that can generate self-fulfilling asset prices. In the model, fixed investment costs turn a market illiquid and generate an arbitrage opportunity. The worst-case return on pledged collateral constrains arbitrageurs’ leverage. The interaction between this return and arbitrageurs’ capital makes entry decisions complementary and can create multiple equilibria. When arbitrageurs enter with capital, the market becomes more liquid; the worst-case return rises; and more arbitrageurs enter with capital. When arbitrageurs withhold capital, the market stays illiquid; the worst-case return falls; and other arbitrageurs stay out.

中文翻译：

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自我实现的资产价格

本文解释说，预期的市场流动性是考虑进入市场的套利者的一个重要问题，这个问题可以产生自我实现的资产价格。在该模型中，固定投资成本使市场缺乏流动性并产生套利机会。质押抵押品的最坏回报限制了套利者的杠杆作用。这种回报和套利者资本之间的相互作用使进入决策互补，并可以创造多重均衡。当套利者带着资金进入时，市场变得更加流动；最坏情况下的回报率上升；更多的套利者带着资本进入。当套利者扣留资金时，市场将保持流动性不足；最坏情况下的回报率下降；而其他套利者则置之不理。