My da|ra Login

Detailed view

metadata language: English

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

Version
V0
Resource Type
Dataset : program source code
Creator
  • Rüdiger, Jesper (Universidad Carlos III de Madrid)
  • Vigier, Adrien (BI Norwegian Business School)
Publication Date
2019-12-30
Free Keywords
Dealer Markets; Information Acquisition; Market Liquidity; Price Discovery
Description
  • 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."

Availability
Download
Publications
  • Rüdiger, Jesper, and Adrien Vigier. “Who Acquires Information in Dealer Markets?” American Economic Review, n.d.

Update Metadata: 2020-03-23 | Issue Number: 1 | Registration Date: 2020-03-23

Rüdiger, Jesper; Vigier, Adrien (2019): Data and Code for: Who Acquires Information in Dealer Markets?. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. https://doi.org/10.3886/E115321