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Decision Rules and their Influence on Asset Prices

Trifan, Emanuela (2009)
Decision Rules and their Influence on Asset Prices.
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Item Type: Report
Type of entry: Primary publication
Title: Decision Rules and their Influence on Asset Prices
Language: English
Date: 23 October 2009
Place of Publication: Darmstadt
Series: Darmstadt Discussion Papers in Economics
Series Volume: 139
Abstract:

This paper develops a market microstructure model with asymmetric information in order to quantify the influence which practical decision rules have on asset process. The users of practical decision rules have incomplete information at their disposal and trade in a market with both fully informed and uninformed investors, as well as with a competitive market maker. The users of practical decision rules affect the periodical ask and bid prices in two ways: by means of the precision of their information and through their share in the totality of investors, respectively. The resulting bid-ask spread is positive and proportional to the c.p. variation of these two influencing factors and is attributable to the adverse selection costs.

URN: urn:nbn:de:tuda-tuprints-47876
Additional Information:

Erstellt September 2004

Classification DDC: 300 Social sciences > 330 Economics
Divisions: 01 Department of Law and Economics
01 Department of Law and Economics > Volkswirtschaftliche Fachgebiete
Date Deposited: 23 Oct 2009 13:40
Last Modified: 25 Oct 2023 08:30
URI: https://tuprints.ulb.tu-darmstadt.de/id/eprint/4787
PPN: 378324780
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