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>Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?
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Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?
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机译:流动性不佳的市场中的价格发现:金融资产价格的上涨速度是否超过下跌速度?
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摘要
We study the price discovery municipal bonds, an important OTC market. As in markets for consumer goods, prices ise faster than they fall.u22 Round-trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Effective half-spreads increase or decrease more when movements in fundamentals favor dealers. Yield spreads relative to treasuries also adjust with asymmetric speed in rising and falling markets. Intra-day price dispersion is asymmetric in rising and falling markets, as consumer search theory would predict.
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