Risk Aversion, Transparency, And Market Performance  

Oleh:

Manzano, Carolina ; Frutos, M. Angeles De

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 2 (2002), page 959-984.
Topik: Performance; risk aversion; studies; economic models; securities markets; stock exchanges; stock brokers; stock prices
Fulltext: p 959.pdf (183.3KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.5 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Using a model of market making with inventories based on bias (1993) we find that investors obtain more favorable execution prices and they hence invest more, when markets are fragmented. In our model, risk - averse dealers use less aggressive price strategies in more transparent markets (centralized) because quote dissemination alleviates uncertainty about the prices quoted by other dealers and hence reduces the need to compete aggresively for order flow. Further, we show that the more toward greater transparency (centralization) may have detrimental effects on liquidity and welfare.

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