Anonymity, Adverse Selection, and the Sorting of Interdealer Trades
利用伦敦证券交易所数据，研究交易商匿名性和市场流动性如何影响交易商间交易场所的选择，发现匿名经纪市场逆向选择较少，并解释其原因。
This article uses unique data from the London Stock Exchange to examine how trader anonymity and market liquidity affect dealers' decisions about where to place interdealer trades. During our sample period, dealers could trade with each other in the direct, nonanonymous public market or use one of four anonymous brokered trading systems. Surprisingly, we find that adverse selection is less prevalent in the anonymous brokered markets. We show that this pattern can be explained by the way dealers "price" the adverse selection risk inherent in trading with other dealers. We also relate our findings to recent changes in dealer markets. Copyright 2005, Oxford University Press.