Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?

• 成果类型: Article
• 署名作者: Green, Richard C.; Li, Dan; Schuerhoff, Norman
• 署名单位: Carnegie Mellon University; University of Lausanne; Swiss Finance Institute (SFI)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2010.01590.x
• 发表日期: 2010
• 页码: 1669-1702
• 关键词: trading costs; liquidity; intermediation; TRANSPARENCY; Aftermarket; news

摘要

We study price discovery in municipal bonds, an important OTC market. As in markets for consumer goods, prices rise faster than they fall. Round-trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Further, effective half-spreads increase or decrease more when movements in fundamentals favor dealers. Yield spreads relative to Treasuries also adjust with asymmetric speed in rising and falling markets. Finally, intraday price dispersion is asymmetric in rising and falling markets, as consumer search theory would predict.