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Security prices and market transparency: the role of prior information

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Author Info
Frutos Casado, M. Ángeles de
Abstract

This paper analyzes the role of traders€٠priors (proper versus improper) on the implications of market transparency by comparing a pre-trade transparent market with an opaque market in a set-up based on Madhavan (1996). We show that prices may be more informative in the opaque market, regardless of how priors are modelled. In contrast, the comparison of market liquidity and volatility in the two market structures are affected by prior specification.

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Paper provided by Universitat Rovira i Virgili, Department of Economics in its series Working Papers with number 56.

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Date of creation: 27 Jun 2006
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Handle: RePEc:urv:wpaper:56

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Related research
Keywords: Mercat de capitals; Informació privilegiada;

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