Do proprietary traders provide liquidity?

• 成果类型: Article
• 署名作者: Bergman, Nittai K.; Kadan, Ohad; Michaely, Roni; Moulton, Pamela C.
• 署名单位: Tel Aviv University; Arizona State University; Arizona State University-Tempe; University of Hong Kong; Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104325
• 发表日期: 2026-10
• 页码: 104325
• 关键词: Proprietary traders; liquidity; bank capital; trading volume; market liquidity; cross-section; valuation; times; MODEL

摘要

Whether proprietary traders provide or take liquidity, and how their behavior evolves over the business cycle and across stocks, remains at the center of an ongoing debate. Using a unique dataset from the NYSE, we document that proprietary traders act as net liquidity providers, buying after price declines in a contrarian pattern. Proprietary trader liquidity provision is concentrated in large, liquid, low-volatility stocks and diminishes significantly when intermediary balance sheets are weak. Liquidity provision is stronger when price movements are plausibly not driven by information. Our findings highlight both the role and the limits of proprietary traders in supporting market liquidity across time and market segments.