Data and Code for: Who Acquires Information in Dealer Markets?

Resource Type
Dataset : program source code
  • Rüdiger, Jesper (Universidad Carlos III de Madrid)
  • Vigier, Adrien (BI Norwegian Business School)
Publication Date
Free Keywords
Dealer Markets; Information Acquisition; Market Liquidity; Price Discovery
  • Abstract

    Data and code for the paper "Who Acquires Information in Dealer Markets?". Abstract: "We study information acquisition in dealer markets. We first identify a one-sided strategic complementarity in information acquisition: the more informed traders are, the larger market makers' gain from becoming informed. When quotes are observable, this effect in turn induces a strategic complementarity in information acquisition amongst market makers. We then derive the equilibrium pattern of information acquisition and examine the implications of our analysis for market liquidity and price discovery. We show that increasing the cost of information can decrease market liquidity and improve price discovery."

  • Is cited by
    DOI: 10.1257/aer.20170690 (Text)
  • Rüdiger, Jesper, and Adrien Vigier. “Who Acquires Information in Dealer Markets?” American Economic Review 110, no. 4 (April 1, 2020): 1145–76.
    • ID: 10.1257/aer.20170690 (DOI)

Update Metadata: 2020-05-18 | Issue Number: 2 | Registration Date: 2020-03-23