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Antill, Samuel; Duffie, Darrell - 2020

We explain how the common practice of size-discovery trade detracts from overallfinancial market efficiency. At each of a series of size-discovery sessions, traders report theirdesired trades, generating allocations of the asset and cash that rely on the most recent exchangeprice. Traders can...

Persistent link: https://www.econbiz.de/10012244479

Price discovery and gains from trade in asset markets with insider trading

Brünner, Tobias; Levínský, René - 2020

The present study contributes to the ongoing debate on possible costs and benefits of insider trading. We present a novel call auction model with insider information. Our model predicts that more insider information improves informational efficiency of prices, but this comes at the expense of...

Persistent link: https://www.econbiz.de/10012437539

Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets

Shachat, Jason M. - 2011

We report on experimental markets for a contingent claim asset that eight subjects traded for nine periods before the state was revealed. There is an informative binary signal that arrives after each of the first eight trading rounds. In our baseline treatment the realization of the signal is...

Persistent link: https://www.econbiz.de/10013126895

Who Acquires Information in Dealer Markets?

Rüdiger, Jesper - 2020

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. When quotes are observable, this effect in turn induces a strategic...

Persistent link: https://www.econbiz.de/10012854920

Asymmetric Information and the Medium of Payment in US Takeover Bids

Kyriazis, Dimitris - 2011

) in U.S. takeover bids during the 1986-2008 period. To this end, we combine proxies for asymmetric information with …

Persistent link: https://www.econbiz.de/10013131372

Learning and Price Discovery in a Search Model

Lauermann, Stephan - 2018

We develop a dynamic matching and bargaining game with aggregate uncertainty about the relative scarcity of a commodity. We use our model to study price discovery in a decentralized exchange economy: Traders gradually learn about the state of the market through a sequence of multilateral...

Persistent link: https://www.econbiz.de/10012940513

Initial offerings of options

Müller, Sigrid M. - 2001

This paper considers the introduction of stock options in an (dynamically) incomplete securities market made up of a riskless bond and the stock. The stock price follows a geometric Brownian motion with constant drift. However, there is incomplete information about the unknown stochastic...

Persistent link: https://www.econbiz.de/10009613613

Price Discovery Using a Double Auction

Satterthwaite, Mark Allen - 2020

We devise a tractable model to study the buyer's bid double auction (BBDA) that allows correlated signals and interdependent values/costs. We demonstrate that simple, easily calculated equilibria exist in small markets. We prove that the incentive for strategic behavior vanishes at a O (1/η)...

Persistent link: https://www.econbiz.de/10012856625

Competition in Schedules with Traders that Neglect the Informational Content of the Price

Bayona, Anna; Manzano, Carolina - 2022

We study a market with competition in schedules, such as in asset auctions or wholesale electricity markets, with boundedly rational sellers that partially neglect the informational content of the price. Using the cursed equilibrium concept, we find that the unique symmetric linear equilibrium...

Persistent link: https://www.econbiz.de/10013291358

Preemptive bidding, target resistance, and takeover premiums

Dimopoulos, Theodosios; Sacchetto, Stefano - 2011

This paper empirically evaluates two possible sources of large takeover premiums: preemptive bidding and target … resistance. We develop an auction model that features costly sequential entry of bidders in takeover contests and that … in the period 1988-2006. We find that target resistance is the main determinant of takeover premiums in 74% of successful …

Persistent link: https://www.econbiz.de/10009375142