search query: @author Schnitzlein, C. / total: 2
reference: 2 / 2
« previous | next »
| Author: | Schnitzlein, C. |
| Title: | Call and continuous trading mechanisms under asymmetric information: an experimental investigation |
| Journal: | Journal of Finance
1996 : JUN, VOL. 51:2, p. 613-636 |
| Index terms: | TRADE ASYMMETRIC INFORMATION FINANCE |
| Language: | eng |
| Abstract: | The author examines the relative performance of call and continuous auctions under asymmetric information by manipulating trading rules and information sets in laboratory asset markets. He finds significant differences in an environment that extends the Kyle framework to permit the exogenous liquidity trading motive to have a natural economic interpretation. The adverse selection costs incurred by noise traders are significantly lower under the call auction, despite no significant reduction in average price efficiently. |
« previous | next »
SCIMA