Full-information transaction costs

摘要：

In a world with private information and learning on the part of the market participants, the (positive) difference between the observed transaction price of an asset and the corresponding unobserved full-information price (the price that re- flects private and public information about the asset) represents an ideal measure of market effciency. We call this difference “Full-information transaction cost. We propose a simple and robust methodology to evaluate full-information transaction costs. Its simplicity is due to reliance on sample moments of observed high-frequency transaction price data. Its robustness hinges on the fact that the deviations of the observed transaction prices from the unobserved full-information prices can be imputed to fairly unrestricted operating (order-processing and inventory keeping) costs, adverse-selection costs, and learning in the marketplace.

关键词： Asymmetric information liquidity market efficiency

作者: Federico M. Bandi Jeffrey R. Russell

作者单位: Graduate School of Business, The University of Chicago

会议类型: 国际会议

会议名称: 2006年中国金融国际年会

会议地点: 西安

会议语种:英文

页码: 1-40

在线出版日期: 2006-07-17（万方平台首次上网日期，不代表论文的发表时间）