Security prices and market transparency: the role of prior information

All of RECERCAT

Use this identifier to quote or link this document: http://hdl.handle.net/2072/1754

Title:	Security prices and market transparency: the role of prior information
Author:	Frutos, M. Ángeles de; Manzano, Carolina
Other authors:	Universitat Rovira i Virgili. Departament d'Economia
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, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification. Key words: Market microstructure, Transparency, Prior information
Publication date:	2005
Subject(s):	-Mercat de capitals -Informació privilegiada
Rights:	Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/)
Document type:	Working Paper
Collection:	Documents de treball del Departament d'Economia;2005-4
Share:

Files	Size	Format
DT.2005-4-.pdf	2.502 MB	PDF