A comparison of stock market mechanisms
Mostra el registre complet Registre parcial de l'ítem
- 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.date.modified 2020-05-25T09:19:00Z
- 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.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.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.accessRights info:eu-repo/semantics/openAccess
- dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
- dc.subject.keyword financial economics
- dc.subject.keyword asset pricing
- dc.subject.keyword information and market efficiency
- dc.subject.keyword Finance and Accounting
- dc.title A comparison of stock market mechanisms
- dc.type info:eu-repo/semantics/workingPaper