THE LIQUIDITY SERVICE OF BENCHMARK SECURITIES

We demonstrate that benchmark securities allow heterogeneously informed investors to create trading strategies that are perfectly aligned with their signals. Investors who are informed about security-specific risks but uninformed about systematic risks can take an offsetting position in benchmark se...

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Veröffentlicht in:	Journal of the European Economic Association 2005-09, Vol.3 (5), p.1156-1180
1. Verfasser:	Yuan, Kathy
Format:	Artikel
Sprache:	eng
Schlagworte:	Adverse selection Benchmark securities Financial securities Information Investment risk Investors Liquidity Market prices Order flow Prices Risk Security prices Security systems Stocks Systematic risk Trade
Online-Zugang:	Volltext
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