Size Discovery

• 成果类型: Article
• 署名作者: Duffie, Darrell; Zhu, Haoxiang
• 署名单位: Stanford University; National Bureau of Economic Research; Massachusetts Institute of Technology (MIT)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw112
• 发表日期: 2017
• 页码: 1095
• 关键词: markets; COMPETITION; INFORMATION; auctions

摘要

Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to price pressure. Primary examples include workup in Treasury markets, matching sessions in corporate bond and CDS markets, and block-trading dark pools in equity markets. By freezing the execution price and giving up on market-clearing, size-discovery mechanisms overcome concerns by large investors over their price impacts. Price-discovery mechanisms clear the market, but cause investors to internalize their price impacts, inducing costly delays in the reduction of position imbalances. We show how augmenting a price-discovery mechanism with a size-discovery mechanism improves allocative efficiency.