The liquidity service of benchmark securities
成果类型：
Article
署名作者：
Yuan, K
署名单位：
University of Michigan System; University of Michigan
刊物名称：
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION
ISSN/ISSBN：
1542-4766
DOI：
10.1162/1542476054729428
发表日期：
2005
页码：
1156-1180
关键词：
摘要：
We demonstrate that benchmark securities allow heterogeneously informed investors to create trading strategies that are perfectly aligned with their signals. Investors who are informed about security-specific risks but uninformed about systematic risks can take an offsetting position in benchmark securities to eliminate exposure to adverse selection in systematic risks, while investors who are informed about systematic risks but uninformed about security-specific risks can trade systematic risks exclusively using benchmark securities. We further show that introduction of benchmark securities encourages more investors to acquire both security-specific and systematic-factor information, which leads to increased liquidity and price informativeness for all individual securities.
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