Price, Trade Size, and Information Revelation in Multi-Period Securities Markets
Shino Takayama () and
Han Ozsoylev ()
Finance from University Library of Munich, Germany
We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom. This paper makes one basic methodological advance over previous research on sequential securities trading: we allow for multiple trade sizes for traders to choose from in a multi-period market. We examine how trade size multiplicity affects the intertemporal dynamics of trading strategies, bid-ask spreads, and information revelation. We also show that price impact, as a function of trade size, is increasing and exhibits (discrete) concavity.
JEL-codes: G (search for similar items in EconPapers)
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Journal Article: Price, trade size, and information revelation in multi-period securities markets (2010)
Working Paper: Price, Trade Size, and Information Revelation in Multi-Period Securities Markets (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0510031
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