Bid-Ask Price Competition with Asymmetric Information between Market-Makers
研究报价驱动市场中，拥有私有信息的做市商与无信息做市商反复竞争如何影响价格形成，发现市场在最后阶段之前从未达到强式有效，并刻画了一个声誉均衡，其中知情做市商影响甚至误导对手信念，产生价格领导效应。
This paper studies the effect of asymmetric information on the price formation process in a quotedriven market. One market-maker receives private information on the value of the quoted asset and repeatedly competes with market-makers who are uninformed. We show that despite the fact that the informed market-maker's quotes are public, the market is never strong-form efficient with certainty until the last stage. We characterize a reputational equilibrium in which the informed market-maker influences and possibly misleads the uninformed market-makers' beliefs. At this equilibrium, a price leadership effect arises, the informed market-maker's expected pay-off is positive and the rate of price discovery increases in the last stages of trade. © 2006 The Review of Economic Studies Limited.