Finding a Good Price in Opaque Over-the-Counter Markets

• 成果类型: Article
• 署名作者: Zhu, Haoxiang
• 署名单位: Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhr140
• 发表日期: 2012
• 页码: 1255
• 关键词: model; search; equilibrium; TRANSPARENCY; INFORMATION; liquidity

摘要

This article offers a dynamic model of opaque over-the-counter markets. A seller searches for an attractive price by visiting multiple buyers, one at a time. The buyers do not observe contacts, quotes, or trades elsewhere in the market. A repeat contact with a buyer reveals the seller's reduced outside options and worsens the price offered by the revisited buyer. When the asset value is uncertain and common to all buyers, a visit by the seller suggests that other buyers could have quoted unattractive prices and thus worsens the visited buyer's inference regarding the asset value. (JEL G14, C78, D82, D83)