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Price, trade size, and information revelation in multi-period securities markets

Abstract:

We study price formation in securities markets, using the sequential trade framework of Glosten and Milgrom (1985). This paper makes one basic methodological advance over previous research on sequential securities trading: we allow traders to choose from n trade sizes in a multi-period market, where n can be arbitrarily large. We examine how trade size multiplicity affects the intertemporal dynamics of trading strategies, bid-ask spreads, and information revelation. We show that price impact,...

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Authors


Han Ozsoylev More by this author
Shino Takayama More by this author
Publication date:
2010
URN:
uuid:0777ab05-834e-45ea-8279-04b20f53a5aa
Local pid:
oai:eureka.sbs.ox.ac.uk:1168

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