کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
961091 929782 2010 28 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Price, trade size, and information revelation in multi-period securities markets
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Price, trade size, and information revelation in multi-period securities markets
چکیده انگلیسی
We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom (1985). This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from n trade sizes in a multi-period market, where n can be arbitrarily large. We examine how trade size multiplicity affects the intertemporal dynamics of trading strategies, bid-ask spreads, and information revelation. We show that price impact, as a function of trade size, is increasing and exhibits (discrete) concavity.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Markets - Volume 13, Issue 1, February 2010, Pages 49-76
نویسندگان
, ,