G2TT
来源类型Discussion paper
规范类型论文
来源IDDP11843
DP11843 Activism, Strategic Trading, and Liquidity
Pierre collin-dufresne; Vyacheslav Fos; Tao Li; Alexander Ljungqvist
发表日期2017-02-11
出版年2017
语种英语
摘要We analyze dynamic trading in an anonymous market by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. The optimal continuous trading strategy is independent of the activism technology. Activism, prices, and liquidity are jointly determined in equilibrium. Variation in noise trading volatility can produce either positive or negative effects on both efficiency and liquidity, depending on the activism technology and model parameters, because future effort depends on the realized amount of noise trading. The `lock in' effect emphasized in previous literature (e.g., Coffee (1991), Bhide (1993) and Maug (1998)) holds only for special forms of the activism technology. Reducing the uncertainty about the activist's position improves market liquidity, but the effect on efficiency depends on the specification of the effort cost function. Variation in the activist's productivity produces a negative cross-sectional relation between efficiency and liquidity as the possibility of more activism exacerbates the risk of adverse selection.
主题Financial Economics
URLhttps://cepr.org/publications/dp11843
来源智库Centre for Economic Policy Research (United Kingdom)
资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/540656
推荐引用方式
GB/T 7714
Pierre collin-dufresne,Vyacheslav Fos,Tao Li,et al. DP11843 Activism, Strategic Trading, and Liquidity. 2017.
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