| dc.contributor |
Sloan School of Management |
|
| dc.contributor |
Zhu, Haoxiang |
|
| dc.creator |
Duffie, Darrell |
|
| dc.creator |
Zhu, Haoxiang |
|
| dc.date |
2019-03-19T16:04:08Z |
|
| dc.date |
2019-03-19T16:04:08Z |
|
| dc.date |
2017-01 |
|
| dc.date |
2019-03-06T16:44:18Z |
|
| dc.date.accessioned |
2023-03-01T18:05:06Z |
|
| dc.date.available |
2023-03-01T18:05:06Z |
|
| dc.identifier |
0893-9454 |
|
| dc.identifier |
1465-7368 |
|
| dc.identifier |
http://hdl.handle.net/1721.1/121045 |
|
| dc.identifier |
Duffie, Darrell, and Haoxiang Zhu. “Size Discovery.” The Review of Financial Studies 30, no. 4 (January 31, 2017): 1095–1150. |
|
| dc.identifier |
https://orcid.org/0000-0001-5330-3441 |
|
| dc.identifier.uri |
http://localhost:8080/xmlui/handle/CUHPOERS/278686 |
|
| dc.description |
Size-discovery mechanisms allow large quantities of an asset to be exchanged at a price that does not respond to price pressure. Primary examples include "workup" in Treasury markets, "matching sessions" in corporate bond and CDS markets, and block-trading "dark pools" in equity markets. By freezing the execution price and giving up on market clearing, size-discovery mechanisms overcome concerns by large investors over their price impacts. Price-discovery mechanisms clear the market, but cause investors to internalize their price impacts, inducing costly delays in the reduction of position imbalances. We show how augmenting a price-discovery mechanism with a size-discovery mechanism improves allocative efficiency. |
|
| dc.format |
application/pdf |
|
| dc.publisher |
Oxford University Press (OUP) |
|
| dc.relation |
http://dx.doi.org/10.1093/RFS/HHW112 |
|
| dc.relation |
The Review of Financial Studies |
|
| dc.rights |
Creative Commons Attribution-Noncommercial-Share Alike |
|
| dc.rights |
http://creativecommons.org/licenses/by-nc-sa/4.0/ |
|
| dc.source |
NBER |
|
| dc.title |
Size Discovery |
|
| dc.type |
Article |
|
| dc.type |
http://purl.org/eprint/type/JournalArticle |
|