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- W2377881172 abstract "This paper shows that dealers in OTC markets might choose to share information about transient price pressures. Using data from the pre-1997 NASDAQ preopening, I find that the frequency and magnitude of non-positive spreads (“crosses and locks”) initiated by wholesalers (specialized market-makers with a high exposure to inventory risk) are strongly related to opening price reversals and daily trading imbalances. This activity is more likely to occur on days of large liquidity shocks, and it is not observed for other dealers. Overall, the obligation to provide best execution while minimizing inventory risk might induce dealers to communicate the direction in which the opening price should move. The findings contain lessons for the design of today's OTC markets." @default.
- W2377881172 created "2016-06-24" @default.
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- W2377881172 date "2016-12-05" @default.
- W2377881172 modified "2023-09-24" @default.
- W2377881172 title "Cold Case File? Inventory Risk and Information Sharing during the pre-1997 NASDAQ Preopening" @default.
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