haku: @author Theissen, E. / yhteensä: 11
viite: 3 / 11
| Tekijä: | Theissen, E. |
| Otsikko: | Trader anonymity, price formation and liquidity |
| Lehti: | European Finance Review
2003 : VOL. 7:1, p. 1-26 |
| Asiasana: | Bidding Liquidity Trading |
| Vapaa asiasana: | Anonymity Price formation |
| Kieli: | eng |
| Tiivistelmä: | Data from the Frankfurt Stock Exchange is used to analyze price formation and liquidity in a non-anonymous environment with similarities to the floor of the NYSE. The main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of private information. She uses this knowledge to price discriminate. This can be achieved by quoting a large spread and granting price improvement to traders deemed uninformed. Consistent with the hypothesis it is found that price improvement reflects lower adverse selection costs but does not lead to a reduction in the specialist's profit. |
SCIMA