INVESTMENT ANALYSIS AND PRICE FORMATION IN SECURITIES MARKETS

被引：337
作者：
BRENNAN, MJ
SUBRAHMANYAM, A
机构：
[1] UNIV CALIF LOS ANGELES,ANDERSON GRAD SCH MANAGEMENT,LOS ANGELES,CA 90024
[2] LONDON BUSINESS SCH,LONDON NW1 4SA,ENGLAND
[3] COLUMBIA UNIV,GRAD SCH BUSINESS,NEW YORK,NY 10027
来源：
JOURNAL OF FINANCIAL ECONOMICS | 1995年 / 38卷 / 03期
关键词：
SECURITY ANALYSIS; MARKET DEPTH; ASYMMETRIC INFORMATION;
D O I：
10.1016/0304-405X(94)00811-E
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This paper investigates the relation between the number of analysts following a security and the estimated adverse selection cost of transacting in the security, controlling for the effects of previously identified determinants of liquidity. Using intraday data for the year 1988, we find that greater analyst following tends to reduce: adverse selection costs based on the Kyle (1985) notion of market depth. This result is consistent with the analysis of Admati and Pfleiderer (1988). Estimates of structural parameters of a version of the Admati and Pfleiderer model of endogenous information acquisition provide qualified support for the model.
引用
收藏
页码：361 / 381
页数：21
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