Asymmetric thin markets

• 成果类型: Article
• 署名作者: Fardeau, Vincent
• 署名单位: HSE University (National Research University Higher School of Economics)
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2026.104319
• 发表日期: 2026-09
• 页码: 104319
• 关键词: Thin markets; Asymmetric price impact; Anticipated shocks; FLOW

摘要

Using a new equilibrium representation, I characterize dynamic, nonstationary risk sharing in a complete-information setting among strategic traders submitting demand schedules and heterogeneous in risk aversion. In equilibrium, more risk-averse (smaller) traders diversify more aggressively due to endogenously lower price impact. This creates term structure effects, where smaller traders dynamically hedge the persistent order flow of larger, slower traders and become the marginal pricers at short horizons. When pre-announced security issuances (e.g., bond reopenings) or predictable trades take place, the model generates the gradual, V-shaped price response observed around these events and delivers new predictions about institutional trading.