A Theoretical Analysis of Institutional Investors’ Trading Costs in Auction and Dealer Markets
比较了机构投资者在拍卖市场和做市商市场中因流动性冲击而产生的交易成本，分析了竞争与信息揭示对成本的影响，并给出了决定哪种市场成本更低的参数条件。
This paper compares trading costs for institutional investors subject to liquidity shocks, in auction and dealer markets. The batch auction restricts the institutions’ ability to exploit informational advantages because of competition between institutions when they simultaneously submit orders. This competition lowers aggregate trading costs. In the dealership market, competition between traders is absent but private information is revealed by observing the flow of successive orders and so reduces aggregate trading costs. We analyse the relative effects on trading costs of competition and information revelation in the two systems and derive a parameter inequality which determines which system has lower costs.