European Business Schools Librarian's Group
HEC Research Papers Series,
HEC Paris
No 1296: Asset Dissemination Through Dealer Markets
Jean-Edouard Colliard () and Gabrielle Demange
Additional contact information
Jean-Edouard Colliard: HEC Paris - Finance Department
Gabrielle Demange: Paris School of Economics (PSE); Centre for Economic Policy Research (CEPR); CESifo (Center for Economic Studies and Ifo Institute for Economic Research)
Abstract: Many financial assets are disseminated to final investors via chains of over-the-counter transactions between dealers. We model such an intermediation process as a game with successive take-it-or-leave-it offers: A dealer buys several units of an asset, and can sell some of them to his customers or to a second dealer, who can sell to his customers or to a third dealer, and so on. In equilibrium, the asset is disseminated through a sequence of OTC transactions between dealers. The number of dealers involved, the inventories they keep, and the prices and quantities they offer are endogenously determined. Our model gives a framework to analyze how assets are disseminated through OTC markets, how liquidity evolves along a sequence of transactions, and varies across different sequences of different lengths.
Keywords: intermediation chains; liquidity; OTC markets; dealer markets
62 pages, July 27, 2018
Full text files
papers.cfm?abstract_id=3244321 HTML file Full text
Questions (including download problems) about the papers in this series should be directed to Antoine Haldemann ()
Report other problems with accessing this service to Sune Karlsson ().
This page generated on 2024-02-05 15:47:25.