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Trade disclosure regulation in markets with negotiated trades
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In this article, the authors examine whether full and prompt disclosure of public-trade details improves the welfare of a risk-averse investor, and they show that if the market maker learns some information about the motive behind public trade, neither regime is unambiguously welfare superior.Abstract:
In dealership markets disclosure of size and price of details of public trades is typically incomplete. We examine whether full and prompt disclosure of public-trade details improves the welfare of a risk-averse investor. We analyze a model of dealership market where a market maker first executes a public trade and then offsets her position by trading with other market makers. We distinguish between quantity risk and price revision risk. We show that if the market maker learns some information about the motive behind public trade, neither regime is unambiguously welfare superior. This is because greater transparency improves quantity risk sharing but worsens price revision risk sharing.read more
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Market microstructure: A survey of microfoundations, empirical results, and policy implications
TL;DR: In this article, the authors survey the literature analyzing the price formation and trading process, and the consequences of market organization for price discovery and welfare, and offer a synthesis of the theoretical microfoundations and empirical approaches.
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Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds
TL;DR: This paper developed a simple model of the effect of transaction reporting on trade execution costs and test it using a sample of institutional trades in corporate bonds, before and after the initiation of public transaction reporting through the TRACE system.
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Transparency and Liquidity: A Controlled Experiment on Corporate Bonds
TL;DR: In this paper, the impact of last-sale trade reporting on the liquidity of BBB corporate bonds has been investigated and it is shown that increased transparency has either a neutral or positive effect on market liquidity depending on trade size.
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The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis
Tavy Ronen,Edith S. Hotchkiss +1 more
TL;DR: In this article, the authors examined the informational efficiency of the corporate bond market relative to the market for the underlying stock and found that stocks do not lead bonds in reflecting firm specific information, and that the relative informativeness of high yield bond prices is driven largely by the bonds' liquidity rather than the structure of the dealer market for corporate bonds.
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References
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Book ChapterDOI
The Private and Social Value of Information and the Reward to Inventive Activity
TL;DR: In this paper, the authors discuss the private and social value of information along with the reward of inventive activity, and argue that there tends to be private underinvestment in inventive activity mainly because of the imperfect appropriability of knowledge.
Posted Content
The Private and Social Value of Information and the Reward to Inventive Activity
TL;DR: In this article, the authors discuss the private and social value of information along with the reward of inventive activity, and argue that there tends to be private underinvestment in inventive activity mainly because of the imperfect appropriability of knowledge.
Journal ArticleDOI
The Upstairs Market for Large-Block Transactions: Analysis and Measurement of Price Effects
Donald B. Keim,Ananth Madhavan +1 more
TL;DR: In this paper, the authors developed a model of the upstairs market where order size, beliefs, and prices are determined endogenously, and test the model's predictions using unique data for 5,625 equity trades during the period 1985 to 1992 that are known to be upstairs transactions and are identified as either buyer or seller initiated.
Journal ArticleDOI
Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading
Marco Pagano,Ailsa Röell +1 more
TL;DR: In this article, the authors investigate whether greater transparency enhances market liquidity by reducing the opportunities for taking advantage of uninformed participants, and they find that greater transparency generates lower trading costs for uninformed traders on average, although not necessarily for every size of trade.
Journal ArticleDOI
Insider Trading, Liquidity, and the Role of the Monopolist Specialist
TL;DR: In this paper, the response of marketmakers to the existence of traders with private information is to reduce the liquidity of the market and the institution of the monopolist specialist may ease this inefficiency somewhat by increasing the market liquidity.