Price, Trade Size, and Information Revelation in Multi-Period Securities Markets

Shino Takayama () and Han Ozsoylev

Finance from University Library of Munich, Germany

Abstract: 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)
Date: 2005-10-28
Note: Type of Document - pdf
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://econwpa.ub.uni-muenchen.de/econ-wp/fin/papers/0510/0510031.pdf (application/pdf)

Related works:
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)
Working Paper: Price, Trade Size, and Information Revelation in Multi-Period Securities Markets (2005)
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:wpa:wuwpfi:0510031

Access Statistics for this paper

More papers in Finance from University Library of Munich, Germany
Bibliographic data for series maintained by EconWPA ( this e-mail address is bad, please contact ).