2018

Activism, Strategic Trading, and Liquidity

Särtryck nr 2018:75

Författare: Kerry Back, Pierre Collin‐Dufresne, Vyacheslav Fos, Tao Li och Alexander LjungqvistÅr: 2018 Publikation: Econometrica Årgång (nr): 86 (4) Sidor: 1431–1463
Artikeln online (behörighet kan krävas)


We analyze dynamic trading by an activist investor who can expend costly effort to affect firm value. We obtain the equilibrium in closed form for a general activism technology, including both binary and continuous outcomes. Variation in parameters can produce either positive or negative relations between market liquidity and economic efficiency, depending on the activism technology and model parameters. Two results that contrast with the previous literature are that (a) the relationship between market liquidity and economic efficiency is independent of the activist's initial stake for a broad set of activism technologies, and (b) an increase in noise trading can reduce market liquidity because it increases uncertainty about the activist's trades (the activist trades in the opposite direction of noise traders) and thereby increases information asymmetry about the activist's intentions.


Referens:
Back, Kerry, Pierre Collin‐Dufresne, Vyacheslav Fos, Tao Li och Alexander Ljungqvist (2018), "Activism, Strategic Trading, and Liquidity". Econometrica 86(4), 1431–1463.

Aktuell forskare

Henrik Horn, professor.

Ämnesområden:

Elmarknad, Handelspolitik, Industriell ekonomi, Industriell organisation, Internationell handel, Konkurrenspolitik, Marknadsregleringar.

Några av de frågor Henrik Horn försöker besvara i sin forskning:

Hur bör mellanstatliga investeringsskyddsavtal utformas och vilka konsekvenser har de?

Hur bör jurisdiktionen fördelas mellan nationella konkurrensmyndigheter vad gäller licensieringen av standard-essentiella patent?

Hur bör handelsavtal utformas för att hantera nationellt införda begränsningar av datarörlighet?

 

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