Liquidity provision and the organizational form of NYSE specialist firms

• 成果类型: Article
• 署名作者: Coughenour, JF; Deli, DN
• 署名单位: University of Delaware; Arizona State University; Arizona State University-Tempe
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00444
• 发表日期: 2002
• 页码: 841-869
• 关键词: SECURITIES MARKETS; execution costs; block trades; price; INFORMATION; TRANSACTION; volatility; spreads; dealer; Nasdaq

摘要

We examine the influence of NYSE specialist firm organizational form on the nature of liquidity provision. We compare closely held firms whose specialists provide liquidity with their own capital to widely held firms whose specialists provide liquidity with diffusely owned capital. We argue that specialists using their own capital have a greater incentive and ability to reduce adverse selection costs, but face a greater cost of capital. Differences in the proportion of spreads due to adverse selection costs, large trade frequency, the sensitivity between depth and spreads, and price stabilization support this argument.