Security prices and market transparency: the role of prior information

Maria-Angeles de Frutos and Carolina Manzano ()

Working Papers from Universitat Rovira i Virgili, Department of Economics

Abstract: This paper analyzes the role of traders' priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification. Key words: Market microstructure, Transparency, Prior information

Keywords: Mercat de capitals; Informació privilegiada (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/2072/1754

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:urv:wpaper:2072/1754

Access Statistics for this paper

More papers in Working Papers from Universitat Rovira i Virgili, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Ariadna Casals ().