Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?
研究了市政债券这一重要场外交易市场中的价格发现，发现价格在上涨时比下跌时调整更快，且交易商利润、有效价差和收益率差均呈现不对称调整。
ABSTRACT We study price discovery in municipal bonds, an important OTC market. As in markets for consumer goods, prices “rise faster than they fall.” Round‐trip profits to dealers on retail trades increase in rising markets but do not decrease in falling markets. Further, effective half‐spreads increase or decrease more when movements in fundamentals favor dealers. Yield spreads relative to Treasuries also adjust with asymmetric speed in rising and falling markets. Finally, intraday price dispersion is asymmetric in rising and falling markets, as consumer search theory would predict.