The Review of financial studies, 1993-01, Vol.6 (2), p.375-404
1993
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Details
- Autor(en) / Beteiligte
- Titel
- Price Experimentation and Security Market Structure
- Ist Teil von
- The Review of financial studies, 1993-01, Vol.6 (2), p.375-404
- Ort / Verlag
- New York, NY: Oxford University Press
- Erscheinungsjahr
- 1993
- Quelle
- Business Source Ultimate
- Beschreibungen/Notizen
- We examine the role of market makers in facilitating price discovery. We show that a specialist may experiment with prices to induce more informative order flow, thereby expediting price discovery. Market makers in a multiple-dealer system, unlike a specialist system, do not have the incentives to perform such costly experiments because of free-rider problems. Consequently, the specialist system may provide open markets where competition fails but at the cost of wider bid-ask spreads. We analyze the effect of experimentation on the bid-ask spread and provide an exploratory analysis of intraday specialist data that is consistent with our price experimentation hypothesis.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0893-9454eISSN: 1465-7368DOI: 10.1093/rfs/6.2.375Titel-ID: cdi_proquest_miscellaneous_839297886
- Format
- –
- Schlagworte
- Experimentation, Financial securities, Hypotheses, Incentives, Inventory, Inventory control, Liquidity, Market positioning, Market prices, Modeling, Noise, Order flow, Order quantity, Price quotations, Profits, Public policy, Securities markets, Stock exchange, Stock exchanges, Stock prices, Trade, Trade specialization