G2TT
来源类型Discussion paper
规范类型论文
来源IDDP12372
DP12372 Activism, Strategic Trading, and Liquidity
Alexander Ljungqvist; Pierre collin-dufresne; Vyacheslav Fos; Tao Li
发表日期2017-10-13
出版年2017
语种英语
摘要We analyze dynamic trading 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. Variation in parameters can produce either positive or negative relations between market liquidity and economic efficiency, depending on the activism technology and model parameters. Two results that contrast with the previous literature are that (a) the relation between market liquidity and economic efficiency is independent of the activist's initial stake for a broad set of activism technologies and (b) an increase in noise trading can reduce market liquidity, because it increases uncertainty about the activist's trades (the activist trades in the opposite direction of noise traders) and thereby increases information asymmetry about the activist's intentions.
主题Financial Economics
关键词Kyle model Strategic trading Activism Liquidity Price impact Market depth Economic efficiency Continuous time
URLhttps://cepr.org/publications/dp12372
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/541183
推荐引用方式
GB/T 7714
Alexander Ljungqvist,Pierre collin-dufresne,Vyacheslav Fos,et al. DP12372 Activism, Strategic Trading, and Liquidity. 2017.
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