Transaction costs and informational cascades in financial markets
نویسندگان
چکیده
منابع مشابه
Transaction Costs and Informational Cascades in Financial Markets: Theory and Experimental Evidence
We study the effect of transaction costs (e.g., a trading fee or a transaction tax, like the Tobin tax) on the aggregation of private information in financial markets. We analyze a financial market à la Glosten and Milgrom, in which informed and uninformed traders trade in sequence with a market maker. Traders have to pay a cost in order to trade. We show that, eventually, all informed traders ...
متن کاملLearning , Cascades and Transaction Costs ∗
This paper analyzes the effect of transaction costs on the social learning in an asset market with asymmetric information, sequential trading and competitive price mechanism. Both fixed and proportional transaction costs reduce the informational content of trading orders and lead to informational cascades. If transaction costs are very high, an informational cascade can occur not only when beli...
متن کاملTransaction Costs in Financial Models
Standard models for nancial markets are based on the simplifying assumption that trading orders can be given and executed in continuous time with no friction. This assumption is clearly a strong idealization of the reality. In particular, securities should not be described by a single price but by a bid and ask curve. As a rst approximation, one may assume that the bid and ask prices do not d...
متن کاملUniversal investment in markets with transaction costs
In this paper we formulate and solve the problem of universal growth optimal investment in two-asset discrete time markets with proportional transaction costs. We do not make any distributional assumptions on the market return sequences and construct a policy with growth rate at least as large as any interval policy. Since interval policies are 2-optimal for independent identically distributed ...
متن کاملBid-ask dynamic pricing in financial markets with transaction costs and liquidity risk
We introduce, in continuous time, an axiomatic approach to assign to any financial position a dynamic ask (resp. bid) price process. Taking into account both transaction costs and liquidity risk this leads to the convexity (resp. concavity) of the ask (resp. bid) price. Time consistency is a crucial property for dynamic pricing. Generalizing the result of Jouini and Kallal, we prove that the No...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Economic Behavior & Organization
سال: 2008
ISSN: 0167-2681
DOI: 10.1016/j.jebo.2008.08.001