於連續競價市場中，探索流動性變數在私屬資訊傳遞上所扮演之角色。我們發覺個別證券價值對於私屬資訊的更新是呈現於前期價差中之逆選擇成本元素與後期真實報酬率之間的互動。但是如果因此以爲該證券價值之更新就只是由於其自己前期價差中之逆選擇成本元素所造成，這觀點可能過於狹隘。於投資組合的層面可知，個別證券價值之更新是由於投資組合中所有成份股的前期與同期價差中之逆選擇成本元素交互造成。此現象稱之爲「私屬資訊的共同性」。

This study examines the information role of liquidity by first showing that the trail of the two-stage value updating 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”.