Competing mechanisms in a common value environment

• 成果类型: Article
• 署名作者: Biais, B; Martimort, D; Rochet, JC
• 署名单位: Universite de Toulouse; Universite Toulouse 1 Capitole; Universite de Pau et des Pays de l'Adour
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.1111/1468-0262.00138
• 发表日期: 2000
• 页码: 799-837
• 关键词: MARKET MAKERS; incomplete information; ODD-8TH QUOTES; efficient; auctions; specialist; equilibria

摘要

Consider strategic risk-neutral traders competing in schedules to supply liquidity to a risk-averse agent who is privately informed about the value of the asset and his hedging needs. Imperfect competition in this common value environment is analyzed as a multi-principal game in which liquidity suppliers offer trading mechanisms in a decentralized way. Each liquidity supplier behaves as a monopolist facing a residual demand curve resulting from the maximizing behavior of the informed agent and the trading mechanisms offered by his competitors. There exists a unique equilibrium in convex schedules. It is symmetric and differentiable and exhibits typical features of market-power: Equilibrium trading volume is lower than ex ante efficiency would require. Liquidity suppliers charge positive mark-ups and make positive expected profits, but these profits decrease with the number of competitors. In the limit, as this number goes to infinity, ask (resp. bid) prices converge towards the upper (resp. lower) tail expectations obtained in Glosten (1994) and expected profits are zero.