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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP12372 |
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 |
URL | https://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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