Who Acquires Information in Dealer Markets?

Publikation: Working paperForskning

Standard

Who Acquires Information in Dealer Markets? / Rudiger, Jesper; Vigier, Adrien.

2017.

Publikation: Working paperForskning

Harvard

Rudiger, J & Vigier, A 2017 'Who Acquires Information in Dealer Markets?'. <https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2875763>

APA

Rudiger, J., & Vigier, A. (2017). Who Acquires Information in Dealer Markets? https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2875763

Vancouver

Rudiger J, Vigier A. Who Acquires Information in Dealer Markets? 2017.

Author

Rudiger, Jesper ; Vigier, Adrien. / Who Acquires Information in Dealer Markets?. 2017.

Bibtex

@techreport{ed078b4949374b12870080996cad2c2a,
title = "Who Acquires Information in Dealer Markets?",
abstract = "We study information acquisition in dealer markets. We first identify a one-sided strategic complementarity in information acquisition: the more informed traders are, the larger market makers' gain from becoming informed. We then fully characterize the unique equilibrium as a function of the (uniform) cost of information, and the composition of the market in terms of liquidity traders and speculators. Lastly, we examine the implications of our analysis for market liquidity and price discovery. Our findings shed light on several empirical regularities. ",
keywords = "Faculty of Social Sciences, Market Microstructure, Informed Market Makers, Dealer Markets, Information Acquisition, D82, D83, G12, G14, G20",
author = "Jesper Rudiger and Adrien Vigier",
year = "2017",
language = "English",
type = "WorkingPaper",

}

RIS

TY - UNPB

T1 - Who Acquires Information in Dealer Markets?

AU - Rudiger, Jesper

AU - Vigier, Adrien

PY - 2017

Y1 - 2017

N2 - We study information acquisition in dealer markets. We first identify a one-sided strategic complementarity in information acquisition: the more informed traders are, the larger market makers' gain from becoming informed. We then fully characterize the unique equilibrium as a function of the (uniform) cost of information, and the composition of the market in terms of liquidity traders and speculators. Lastly, we examine the implications of our analysis for market liquidity and price discovery. Our findings shed light on several empirical regularities.

AB - We study information acquisition in dealer markets. We first identify a one-sided strategic complementarity in information acquisition: the more informed traders are, the larger market makers' gain from becoming informed. We then fully characterize the unique equilibrium as a function of the (uniform) cost of information, and the composition of the market in terms of liquidity traders and speculators. Lastly, we examine the implications of our analysis for market liquidity and price discovery. Our findings shed light on several empirical regularities.

KW - Faculty of Social Sciences

KW - Market Microstructure

KW - Informed Market Makers

KW - Dealer Markets

KW - Information Acquisition

KW - D82

KW - D83

KW - G12

KW - G14

KW - G20

M3 - Working paper

BT - Who Acquires Information in Dealer Markets?

ER -

ID: 184807985