阻止贸易签约

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-07-19 DOI:10.1016/j.jfineco.2024.103901

Markus Baldauf , Christoph Frei , Joshua Mollner

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引用次数: 0

摘要

我们研究的是委托代理环境下的最优执行问题。客户与交易商签订购买合同。交易商进行套期保值，从市场上买入，对价格产生暂时和永久的影响。客户选择合同，合同规定付款是市场价格的函数；隐藏行动排除了对交易商套期保值交易的条件限制。我们的研究表明，理论上第一最优基准是可以通过不受限制的合约集实现的。然后，我们考虑了常用的加权平均价格合约。在连续时间极限中，最优加权需要在内部时间具有恒定密度，而在极端时间具有离散质量。

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Block trade contracting

We study the optimal execution problem in a principal–agent setting. A client contracts to purchase from a dealer. The dealer hedges, buying from the market, creating temporary and permanent price impact. The client chooses a contract, which specifies payment as a function of market prices; hidden action precludes conditioning on the dealer’s hedging trades. We show the first-best benchmark is theoretically achievable with an unrestricted contract set. We then consider weighted-average-price contracts, which are commonly used. In the continuous-time limit, the optimal weighting entails a constant density at interior times and discrete masses at the extremes.

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来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.