ERN: Market Structure (Topic)最新文献

{"title":"Liquidity-based Trading Fees and Exchange Volume","authors":"Laura Cardella, Jia Hao, Ivalina Kalcheva","doi":"10.2139/ssrn.2149302","DOIUrl":"https://doi.org/10.2139/ssrn.2149302","url":null,"abstract":"We study the effect of liquidity-based trading fees charged by the U.S. stock exchanges, on market outcomes for the period 2008-2010. Our exchange-level analysis reveals that an exchange's trading volume is decreasing in its net fee, relative to the net fee of other exchanges. Further, an increase in the take fee decreases trading volume relatively more than an increase in the make fee. At the exchange level, these changes in trading volume are not accompanied by changes in quoted or net-of-fees spreads.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"14 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-04-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125674683","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Fragmentation and Algorithmic Trading: Joint Impact on Market Quality","authors":"M. Aitken, D. Harris, F. Harris","doi":"10.2139/ssrn.2587314","DOIUrl":"https://doi.org/10.2139/ssrn.2587314","url":null,"abstract":"We investigate the effects of algorithmic trading and dark venues on U.S. security market quality. Market quality refers to the nearly universal mandate of securities regulators to ensure that all market design changes should not detract from efficiency or fairness which we define as less market manipulation. A simultaneous equations model is used to estimate how fragmentation of the lit and dark order flow interacts with algorithmic trading to determine round-trip transaction costs and end-of-day manipulation. We find that lit market fragmentation lowers effective spreads and reduces manipulation but that fragmentation into the dark raises effective spreads and increases manipulation.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"87 3-4 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2015-03-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"131670685","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Evaluating Behaviorally-Motivated Policy: Experimental Evidence from the Lightbulb Market","authors":"Hunt Allcott, Dmitry Taubinsky","doi":"10.2139/ssrn.2676158","DOIUrl":"https://doi.org/10.2139/ssrn.2676158","url":null,"abstract":"Imperfect information and inattention to energy costs are important potential motivations for energy efficiency standards and subsidies. We evaluate these motivations in the lightbulb market using a theoretical model and two randomized experiments. We derive welfare effects as functions of reduced-form sufficient statistics capturing economic and psychological parameters, which we estimate using a novel within-subject information disclosure experiment. The main results suggest that moderate subsidies for energy-efficient lightbulbs may increase welfare, but informational and attentional biases alone do not justify a ban on incandescent lightbulbs. Our results and techniques generate broader methodological insights into welfare analysis with misoptimizing consumers. (JEL D12, D83, H21, H31, L67, Q41, Q48)","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"132051666","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"La Partecipazione Delle Imprese Edili Italiane Al Procurement Della Banca Mondiale (The World Bank's Procurement Competition and the Italian Construction Industry)","authors":"Michele Benvenuti, L. Casolaro, Tindaro Paganini, Umberto Viviani","doi":"10.2139/SSRN.2589525","DOIUrl":"https://doi.org/10.2139/SSRN.2589525","url":null,"abstract":"Italian Abstract: Nell'ambito della propria attivita di procurement la Banca Mondiale eroga annualmente tra i 20 e i 40 miliardi di dollari di nuovi prestiti, la meta dei quali destinati al finanziamento di infrastrutture. Si tratta di un mercato nel quale le imprese italiane hanno conseguito risultati significativi, con un'incidenza superiore al 4 per cento del volume complessivo tra il 2007 e il 2012 (quasi il 6 per i soli appalti relativi a infrastrutture), facendo dell'Italia il quarto paese a livello globale. Le aggiudicazioni hanno riguardato un gruppo ristretto di imprese e si sono concentrate in contratti di grandi dimensioni, in progetti relativi a infrastrutture di trasporto e in mercati geografici limitrofi (Europa emergente e Asia Centrale). Le procedure utilizzate dalla Banca Mondiale nel settore del procurement pubblico sono oggetto di una profonda revisione. Da essa possono scaturire ulteriori opportunita per le imprese italiane, connesse con una crescente valutazione di aspetti diversi dal costo monetario iniziale nella selezione dei progetti, ma anche rischi, perche una piu frequente applicazione di procedure di procurement nazionali renderebbe piu difficoltosa la partecipazione ai bandi per le imprese non locali.English Abstract: The World Bank’s procurement sector performs yearly operations ranging from $20 to $40 billion, half of which financing civil works. The share of contracts assigned to Italian firms peaked at 4 per cent in 2007-2012 (6 per cent in the civil works sector), significantly improving the level of the previous 2001-2006 period; Italy ranked as the fourth country in overall value. These projects are carried out by a small number of firms, are large in size, situated in relatively close markets (Eastern Europe and Central Asia) and mainly related to transportation. The World Bank’s procurement procedures are currently under revision. Both opportunities and risks may arise for Italian firms. Projects will be assessed by looking beyond the initial bid price: quality and life-cycle profitability will be more relevant, representing a potential advantage to Italian firms used to managing large, complex projects. On the other hand, a more widespread use of national procurement procedures could result in a comparative disadvantage for non-local firms.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"59 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"125879470","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"When Helping the Small Hurts the Middle: Beer Excise Duties and Market Concentration","authors":"Simon Loretz, H. Oberhofer","doi":"10.2139/ssrn.2511618","DOIUrl":"https://doi.org/10.2139/ssrn.2511618","url":null,"abstract":"The beer market has undergone a dramatic change over the last decades and there are growing concerns of too much market concentration. Among other reasons we identify the role of beer excise taxes in the determination of the market structure. In particular the introduction of a minimum excise tax for beer in the European Union with the provision for a asymmetric reduction for small breweries can create incentives for small breweries. While we find evidence that high beer excise taxes increase the likelihood to be target of an international takeover, the overall role of beer taxes on the market structure is ambiguous. While the reduced beer excise for small breweries fosters new entries, they potentially squeeze out mid-sized breweries resulting in an even more concentration market.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"9 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-10-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"128617372","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Market Implications of Public Policy Interventions: The Case of Florida's Property Insurance Market","authors":"Lorilee A. Medders, Charles Nyce, J. Bradley Karl","doi":"10.1111/rmir.12006","DOIUrl":"https://doi.org/10.1111/rmir.12006","url":null,"abstract":"This article asserts that the market for property insurance, particularly homeowners insurance, in the State of Florida is experiencing failures, and that a combination of market problems, externalities, and interventions unique to Florida led to these failures. The authors provide evidence of market failures in the form of undesirable market outcomes, both over time and in comparison to other coastal states. Also, they provide a narrative description of the market events, problems, and policies preceding these adverse market developments and link the narrative to the evidence. Recommendations for a return to risk-based pricing and incentives for appropriate property mitigation are made.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"40 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126499031","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Settlement Procedures and Stock Market Efficiency","authors":"Emily Lin, Carl R. Chen","doi":"10.2139/ssrn.2492097","DOIUrl":"https://doi.org/10.2139/ssrn.2492097","url":null,"abstract":"Most markets that choose settlement day following expiration day select opening price rather than closing price as final settlement price (FSP) when index derivatives expire, while most markets that choose settlement day the same as expiration day select an average price rather than a single price as FSP. This study resolves this puzzle by exploring sources of expiration-day effects and investigates whether and how settlement procedures affect the trading in the underlying stock market at expiration of index derivatives. Four exogenous changes in TAIFEX settlement procedures provide us an excellent experimental ground to study the impact of the nature of settlement procedures on liquidity, market efficiency, and price discovery. We find market efficiency has the least reduction if FSP is determined by a single price, yet market efficiency is moved from the opening to pre-opening period if FSP is calculated by an average price. Moreover, we find a tradeoff between liquidity, market efficiency, and price discovery and manipulation prevention.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-08-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129651335","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Estudio Comparativo sobre Sociedades de Información Crediticia (Comparative Study of Mexico's Credit Information Societies)","authors":"A. Elbittar, Elisa V. Mariscal, Alexis Pirchio","doi":"10.2139/ssrn.3251033","DOIUrl":"https://doi.org/10.2139/ssrn.3251033","url":null,"abstract":"Spanish Abstract: Este reporte realiza un análisis comparado de la estructura del mercado de las Sociedades de Información Crediticia (SIC) en México y un número selecto de países. El objetivo es evaluar con base a elementos de carácter técnico la organización industrial, los incentivos y la regulación, para llegar a un conjunto de mejores prácticas que fomenten una mayor competencia económica en el sector. English Abstract: This paper undertakes a comparative study of the market structure underlying credit information societies in Mexico and various comparable countries. The aim is to evaluate the industrial organization, incentives and regulation based on technical criteria. This allows us to infer a set of best practices that foster greater competition in the sector.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-05-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"116969651","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Perception and Quality Choice in Vertically Differentiated Markets","authors":"E. Webb","doi":"10.2139/ssrn.2414541","DOIUrl":"https://doi.org/10.2139/ssrn.2414541","url":null,"abstract":"Consumers are assumed to be unable to discriminate between two goods of differing qualities provided that the qualities are close enough. It is shown that in a vertically differentiated duopoly this results in multiple equilibria. Demand for each firm's good is reduced. Firms' profits may be higher or lower depending on which equilibrium is selected.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"89 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2014-02-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"124592609","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Multi-Product Price Optimization and Competition Under the Nested Logit Model with Product-Differentiated Price Sensitivities","authors":"G. Gallego, Ruxian Wang","doi":"10.2139/ssrn.1995648","DOIUrl":"https://doi.org/10.2139/ssrn.1995648","url":null,"abstract":"We study firms that sell multiple substitutable products and customers whose purchase behavior follows a Nested Logit model, of which the Multinomial Logit model is a special case. Customers make purchasing decision sequentially under the Nested Logit model: they first select a nest of products and subsequently purchase one within the selected nest. We consider the multi-product pricing problem under the general Nested Logit model with product-differentiated price sensitivities and arbitrary nest coefficients. We show that the adjusted markup, defined as price minus cost minus the reciprocal of price sensitivity, is constant for all products within a nest at optimality. This reduces the problem’s dimension to a single variable per nest. We also show that the adjusted nest-level markup is nest-invariant for all the nests, which further reduces the problem to maximizing a single-variable unimodal function under mild conditions. We also use this result to simplify the oligopolistic multi-product price competition and characterize the Nash equilibrium. We also consider more general attraction functions that include the linear utility and the multiplicative competitive interaction models as special cases, and show that similar techniques can be used to significantly simplify the corresponding pricing problems.","PeriodicalId":172652,"journal":{"name":"ERN: Market Structure (Topic)","volume":"93 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2013-09-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114717998","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}