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| Author: | Romano, M.G. |
| Title: | Learning, cascades, and transaction costs |
| Journal: | Review of finance
2007 : SEP, VOL. 11:3, p. 527-560 |
| Index terms: | finance stocks prices securities trading transaction costs asset valuation information models |
| Freeterms: | spreads |
| Language: | eng |
| Abstract: | In this paper, analysed is the effect of transaction costs on social learning in an asset market with a competitive price mechanism, asymmetric information, and sequential trading. Both fixed and proportional transaction costs reduce the information content of trading orders, leading to informational cascades etc. ... Finally, if the value in the bad state is sufficiently low, proportional transaction costs lead to an informational cascade only when prices are very high. |
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