Price Formation in Markets with Trading Delays

• 成果类型: Article
• 署名作者: Pinter, Gabor; Uslu, Semih
• 署名单位: Bank for International Settlements (BIS); Johns Hopkins University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2020.01400
• 发表日期: 2025
• 关键词: trading frictions; Trading delays; Price informativeness; information aggregation; information acquisition; liquidity

摘要

We develop a parsimonious price formation model to study information aggregation and information acquisition in the presence of trading delays. If delays apply uniformly to uninformed and informed traders, the level of delays does not affect information aggregation. Traders' information acquisition incentives are, however, weaker in a market with longer delays. Therefore, the equilibrium fraction of informed traders is lower if delays are longer, establishing an inverse relationship between trading delays and price informativeness. We also show that risk premia and price dispersion tend to be nonmonotonic functions of the level of delays when information acquisition is endogenous. We document novel empirical evidence from the UK corporate bond market, which largely corroborates the implications of our theory.