作者：Peress, Joel
摘要：How does competition in firms' product markets influence their behavior in equity markets? Do product market imperfections spread to equity markets? We examine these questions in a noisy rational expectations model in which firms operate under monopolistic competition while their shares trade in perfectly competitive markets. Firms use their monopoly power to pass on shocks to customers, thereby insulating their profits. This encourages stock trading, expedites the capitalization of private in...
作者：Comerton-Forde, Carole; Hendershott, Terrence; Jones, Charles M.; Moulton, Pamela C.; Seasholes, Mark S.
作者单位：University of Sydney; University of California System; University of California Berkeley; Hong Kong University of Science & Technology
摘要：We show that market-maker balance sheet and income statement variables explain time variation in liquidity, suggesting liquidity-supplier financing constraints matter. Using 11 years of NYSE specialist inventory positions and trading revenues, we find that aggregate market-level and specialist firm-level spreads widen when specialists have large positions or lose money. The effects are nonlinear and most prominent when inventories are big or trading results have been particularly poor. These s...
