Security prices and market transparency: The role of prior information

Publication:
Security prices and market transparency: The role of prior information

dc.affiliation.dpto	UC3M. Departamento de Economía	es
dc.contributor.author	Frutos, María Ángeles de
dc.contributor.author	Manzano, Carolina
dc.date.accessioned	2009-06-09T09:52:14Z
dc.date.accessioned	2011-02-16T13:03:32Z
dc.date.available	2011-02-16T13:03:32Z
dc.date.issued	2005
dc.description.abstract	This paper analyzes the role of traders´priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardles of how priors are modelled. In contrast, the comparison of market ligquidity and volatility in the two market structures are affected by prior specification.
dc.format.mimetype	application/pdf
dc.format.mimetype	text/plain
dc.identifier.issn	1576-3382
dc.identifier.uri	https://hdl.handle.net/10016/4378
dc.language.iso	eng
dc.publisher	Universidat Rovira i Virgili (Tarragona)
dc.relation.ispartofseries	Document de Treball
dc.relation.ispartofseries	4-2005
dc.relation.publisherversion	http://www.recercat.net/bitstream/2072/1754/4/DT.2005-4-.pdf
dc.rights.accessRights	open access
dc.subject	Market Microstructure
dc.subject	Transparency
dc.subject	Prior Information
dc.subject.eciencia	Economía
dc.title	Security prices and market transparency: The role of prior information
dc.type	working paper	*
dc.type.hasVersion	SMUR	*
dspace.entity.type	Publication

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