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【学术预告】宾夕法尼亚大学沃顿商学院澳门太阳城集团学助理教授Michael Schwert学术研讨会: 价格透明度对交易利润和价格信息量的影响——来自公司债市场的证据

时间: 2019-05-15 10:00 来源: 作者: 浏览量:3124 字号: 打印

主题:The Effects of Transparency on Trading Profits and Price Informativeness: Evidence from Corporate Bonds (价格透明度对交易利润和价格信息量的影响——来自公司债市场的证据)

主讲人:Michael?Schwert,宾夕法尼亚大学沃顿商学院澳门太阳城集团学助理教授

日期:2019年5月15(周三)?

时间:上午10:00-11:30?

地点:清华五道口澳门太阳城集团学院4号楼102教室

语言:英文?

摘要:?

This paper examines the effects of post-trade price transparency on the allocation of trading surplus in the corporate bond market. Using the introduction of TRACE as a natural experiment, we show that dealer profits are unconditionally lower when trade prices are disseminated. However, conditional on facing a customer imbalance, dealers perform better when trades are published because they can use that information to adjust prices more quickly to their future level. We provide evidence that prices are less informative after TRACE, consistent with price transparency reducing incentives for informed traders to participate in the market.

主讲人简介:?

Michael Schwert is an Assistant Professor of Finance at the Wharton School of the University of Pennsylvania. His research focuses on frictions in the debt markets and their effects on asset prices and the behavior of borrowers and lenders. He received his PhD from Stanford Graduate School of Business.