Anonymity, adverse selection, and the sorting of interdealer trades

• 成果类型: Article
• 署名作者: Reiss, PC; Werner, IM
• 署名单位: Stanford University; University System of Ohio; Ohio State University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi005
• 发表日期: 2005
• 页码: 599
• 关键词: BLOCK TRADES; INFORMATION; price; liquidity; TRANSPARENCY; disclosure; MARKETS; COMPETITION

摘要

This article uses unique data from the London Stock Exchange to examine how trader anonymity and market liquidity affect dealers' decisions about where to place interdealer trades. During our sample period, dealers could trade with each other in the direct, nommonymous public market or use one of four anonymous brokered trading systems. Surprisingly, we find that adverse selection is less prevalent in the anonymous brokered markets. We show that this pattern can be explained by the way dealers price the adverse selection risk inherent in trading with other dealers. We also relate our findings to recent changes in dealer markets.