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
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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
Journal: Journal of Financial Economics - Volume 114, Issue 3, December 2014, Pages 405-423
نویسندگان
Terrence Hendershott, Albert J. Menkveld,