David Bourget (Western Ontario)
David Chalmers (ANU, NYU)
Rafael De Clercq
Ezio Di Nucci
Jack Alan Reynolds
Learn more about PhilPapers
We study the eﬀect of transaction costs (e.g., a trading fee or a transaction tax, like the Tobin tax) on the aggregation of private information in ﬁnancial markets. We analyze a ﬁnancial market à la Glosten and Milgrom, in which informed and uninformed traders trade in sequence with a market maker. Traders have to pay a cost in order to trade. We show that, eventually, all informed traders decide not to trade, independently of their private information, i.e., an informational cascade occurs. We replicated our ﬁnancial market in the laboratory. We found that, in the experiment, informational cascades occur when the theory suggests they should. Nevertheless, the ability of the price to aggregate private information is not signiﬁcantly aﬀected. (JEL C92, D8, G14).
|Keywords||No keywords specified (fix it)|
No categories specified
(categorize this paper)
Setup an account with your affiliations in order to access resources via your University's proxy server
Configure custom proxy (use this if your affiliation does not provide a proxy)
|Through your library||
References found in this work BETA
No references found.
Citations of this work BETA
No citations found.
Similar books and articles
Sandra L. Christensen & Brian Grinder (2001). Justice and Financial Market Allocation of the Social Costs of Business. Journal of Business Ethics 29 (1-2):105-112.
Rodolphe Blavy & Luciana Juvenal, Mexico's Integration Into Nafta Markets: A View From Sectoral Real Exchange Rates.
Pelle G. Hansen, Vincent F. Hendricks & Rasmus K. Rendsvig (2013). Infostorms. Metaphilosophy 44 (3):301-326.
Nicholas Capaldi (2007). Corporate Social Responsibility in Developing Countries in a Global Market Economy. International Corporate Responsibility Series 3:223-229.
Luciano Floridi (2006). Four Challenges for a Theory of Informational Privacy. Ethics and Information Technology 8 (3):109-119.
Yiling Chen, Rahul Sami & Daniel M. Reeves, Gaming Prediction Markets: Equilibrium Strategies with a Market Maker.
Bryan W. Husted (1994). Honor Among Thieves. Business Ethics Quarterly 4 (1):17-27.
Added to index2010-12-22
Total downloads11 ( #291,730 of 1,790,117 )
Recent downloads (6 months)7 ( #122,965 of 1,790,117 )
How can I increase my downloads?