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dc.contributor.author Cespa, Giovanni
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.accessioned 2020-05-25T09:26:55Z
dc.date.available 2020-05-25T09:26:55Z
dc.date.issued 2001-05-01
dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=545
dc.identifier.citation Rand Journal of Economics, 2004, vol. 35, 803-824
dc.identifier.uri http://hdl.handle.net/10230/305
dc.description.abstract This paper studies the relationship between the amount of public information that stock market prices incorporate and the equilibrium behavior of market participants. The analysis is framed in a static, NREE setup where traders exchange vectors of assets accessing multidimensional information under two alternative market structures. In the first (the unrestricted system), both informed and uninformed speculators can condition their demands for each traded asset on all equilibrium prices; in the second (the restricted system), they are restricted to condition their demand on the price of the asset they want to trade. I show that informed traders incentives to exploit multidimensional private information depend on the number of prices they can condition upon when submitting their demand schedules, and on the specific price formation process one considers. Building on this insight, I then give conditions under which the restricted system is more efficient than the unrestricted system.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 545
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title A comparison of stock market mechanisms
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2020-05-25T09:19:00Z
dc.subject.keyword financial economics
dc.subject.keyword asset pricing
dc.subject.keyword information and market efficiency
dc.subject.keyword Finance and Accounting
dc.rights.accessRights info:eu-repo/semantics/openAccess

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