Articles scientifiques

A Martingale Characterization of Equilibrium Asset Price Processes

A. LAZRAK, J. Décamps

Economic Theory

2000, vol. 15, n°1, pp.207-123

Départements : Finance


Agency conflicts in public and negotiated transfers of corporate control

M. BURKART, D. GROMB, F. PANUNZI

The Journal of Finance

avril 2000, vol. 55, n°2, pp.647-677

Départements : Finance, GREGHEC (CNRS)

Mots clés : block trade ; Corporate Governance ; Ownership structure ; Small shareholders ; Takeover ; Theory


Bargaining Power and Optimal Leverage

U. HEGE, P. MELLA-BARRAL

Finance

décembre 2000, vol. 21, n°2, pp.85-101

Départements : Finance


Comparaison de méthodes d'extraction d'information à partir d'options de change : le cas du Franc-Deutschemark

E. Jondeau, M. ROCKINGER

Revue Finance

janvier 2000

Départements : Finance


Competing Mechanisms in a Common Value Environment

B. BIAIS, D. MARTIMORT, J-C. ROCHET

Econometrica

juillet 2000, vol. 68, n°4, pp.799-837

Départements : Finance

http://onlinelibrary.wiley.com/doi/10.1111/1468-0262.00138/abstract


Consider strategic risk-neutral traders competing in schedules to supply liquidity to a risk-averse agent who is privately informed about the value of the asset and his hedging needs. Imperfect competition in this common value environment is analyzed as a multi-principal game in which liquidity suppliers offer trading mechanisms in a decentralized way. Each liquidity supplier behaves as a monopolist facing a residual demand curve resulting from the maximizing behavior of the informed agent and the trading mechanisms offered by his competitors. There exists a unique equilibrium in convex schedules. It is symmetric and differentiable and exhibits typical features of market-power: Equilibrium trading volume is lower than ex ante efficiency would require. Liquidity suppliers charge positive mark-ups and make positive expected profits, but these profits decrease with the number of competitors. In the limit, as this number goes to infinity, ask (resp. bid) prices converge towards the upper (resp. lower) tail expectations obtained in Glosten (1994) and expected profits are zero


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