Trifan, Emanuela (2004)
Decision Rules and their Influence on Asset Prices.
Report, Bibliographie
Kurzbeschreibung (Abstract)
This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully informed and uninformed investors, as well as with a competitive market maker. The users of practical decision rules affect the periodical ask and bid prices in two ways: by means of the precision of their information and through their share in the totality of investors, respectively. The resulting bid-ask spread is positive and proportional to the c.p. variation of these two influencing factors and is attributable to the adverse selection costs.
| Typ des Eintrags: | Report |
|---|---|
| Erschienen: | 2004 |
| Autor(en): | Trifan, Emanuela |
| Art des Eintrags: | Bibliographie |
| Titel: | Decision Rules and their Influence on Asset Prices |
| Sprache: | Englisch |
| Publikationsjahr: | September 2004 |
| Ort: | Darmstadt |
| Reihe: | Darmstadt Discussion Papers in Economics |
| Band einer Reihe: | 139 |
| URL / URN: | http://econstor.eu/bitstream/10419/22522/1/ddpie_139.pdf |
| Kurzbeschreibung (Abstract): | This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully informed and uninformed investors, as well as with a competitive market maker. The users of practical decision rules affect the periodical ask and bid prices in two ways: by means of the precision of their information and through their share in the totality of investors, respectively. The resulting bid-ask spread is positive and proportional to the c.p. variation of these two influencing factors and is attributable to the adverse selection costs. |
| Fachbereich(e)/-gebiet(e): | 01 Fachbereich Rechts- und Wirtschaftswissenschaften 01 Fachbereich Rechts- und Wirtschaftswissenschaften > Volkswirtschaftliche Fachgebiete |
| Hinterlegungsdatum: | 23 Okt 2009 13:40 |
| Letzte Änderung: | 29 Mai 2016 21:17 |
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