Information Spillovers in Asset Markets with Correlated Values

• 成果类型: Article
• 署名作者: Asriyan, Vladimir; Fuchs, William; Green, Brett
• 署名单位: Centre de Recerca en Economia Internacional (CREI); University of Texas System; University of Texas Austin; Universidad Carlos III de Madrid; University of California System; University of California Berkeley
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20151714
• 发表日期: 2017
• 页码: 2007-2040
• 关键词: corporate bond market; TRANSPARENCY; disclosure; liquidity; lemons; offers; TRADE; COSTS

摘要

We study information spillovers in a dynamic setting with correlated assets owned by privately informed sellers. In the model, a trade of one asset can provide information about the value of other assets. Importantly, the information content of trading behavior is endogenously determined. We show that this endogeneity leads to multiple equilibria when assets are sufficiently correlated. The equilibria are ranked in terms of both trade volume and efficiency. The model has implications for policies targeting post-trade transparency. We show that introducing post-trade transparency can increase or decrease welfare and trading volume depending on the asset correlation, equilibrium being played, and the composition of market participants.