Risk Aversion, Transparency, and Market Performance

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dc.contributor.author Frutos, María Ángeles de
dc.contributor.author Manzano, Carolina
dc.date.accessioned 2009-06-16T08:43:18Z
dc.date.available 2009-06-16T08:43:18Z
dc.date.issued 2002
dc.identifier.bibliographicCitation Journal of Finance. 2002, vol. 57, nº 2, p. 959-984
dc.identifier.issn 1540-6261
dc.identifier.uri http://hdl.handle.net/10016/4420
dc.description.abstract Using a model of market making with inventories based on Biais (1993), we find that investors obtain more favorable execution prices, and they hence invest more, when markets are fragmented. In our model, risk-averse dealers use less aggressive price strategies in more transparent markets (centralized) because quote dissemination alleviates uncertainty about the prices quoted by other dealers and, hence, reduces the need to compete aggressively for order flow. Further, we show that the move toward greater transparency (centralization) may have detrimental effects on liquidity and welfare.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.publisher Blackwell
dc.rights ©Blackwell
dc.title Risk Aversion, Transparency, and Market Performance
dc.type article
dc.type.review PeerReviewed
dc.description.status Publicado
dc.relation.publisherversion http://dx.doi.org/10.1111/1540-6261.00448
dc.subject.eciencia Economía
dc.identifier.doi 10.1111/1540-6261.00448
dc.rights.accessRights openAccess
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