کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
10475796 929399 2014 47 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Price pressures
ترجمه فارسی عنوان
فشار قیمت
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
چکیده انگلیسی
We study price pressures, i.e., deviations from the efficient price due to risk-averse intermediaries supplying liquidity to asynchronously arriving investors. Empirically, New York Stock Exchange intermediary data reveals economically large price pressures, 0.49% on average with a half life of 0.92 days. Theoretically, a simple dynamic inventory model captures an intermediary׳s use of price pressure to mean-revert inventory. She trades off revenue loss due to price pressure against price risk associated with staying in a nonzero inventory state. The closed-form solution identifies the intermediary׳s risk aversion and the investors׳ private value distribution from the observed time series patterns of prices and inventories. These parameters imply a relative social cost due to price pressure, a deviation from constrained Pareto efficiency, of approximately 10% of the cost of immediacy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 114, Issue 3, December 2014, Pages 405-423
نویسندگان
, ,