Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall ?

Details

Serval ID
serval:BIB_69F813AFA03D
Type
Article: article from journal or magazin.
Collection
Publications
Institution
Title
Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall ?
Journal
Journal of Finance
Author(s)
Green  R.C., Li  D., Schuerhoff  N.
ISSN
0022-1082
Publication state
Published
Issued date
10/2010
Peer-reviewed
Oui
Volume
65
Number
5
Pages
1669-1702
Language
english
Notes
Smith Breeden Prize 2010 Distinguished Paper
Abstract
We study price discovery in municipal bonds, an important OTC market. As in markets for consumer goods, prices "rise faster than they fall." Round-trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Further, effective half-spreads increase or decrease more when movements in fundamentals favor dealers. Yield spreads relative to Treasuries also adjust with asymmetric speed in rising and falling markets. Finally, intraday price dispersion is asymmetric in rising and falling markets, as consumer search theory would predict.
Keywords
US treasury market, trading costs, corporate-bonds, transparency, information, liquidity, intermediation, aftermarket, news
Web of science
Create date
31/05/2010 15:28
Last modification date
21/08/2019 5:17
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