Security prices and market transparency: The role of prior information

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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.identifier.issn 1576-3382
dc.identifier.uri http://hdl.handle.net/10016/4378
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.language.iso eng
dc.publisher Universidat Rovira i Virgili (Tarragona)
dc.relation.ispartofseries Document de Treball
dc.relation.ispartofseries 4-2005
dc.subject Market Microstructure
dc.subject Transparency
dc.subject Prior Information
dc.title Security prices and market transparency: The role of prior information
dc.type workingPaper
dc.relation.publisherversion http://www.recercat.net/bitstream/2072/1754/4/DT.2005-4-.pdf
dc.subject.eciencia Economía
dc.rights.accessRights openAccess
dc.type.version submitedVersion
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