Differential Access to Price Information in Financial Markets
研究了交易所直接出售市场数据对价格发现、资本成本、波动性、流动性、信息生产和交易者福利的影响，发现出售价格数据会损害市场质量和交易者福利。
Recently, exchanges have been directly selling market data. We analyze how this practice affects price discovery, the cost of capital, return volatility, market liquidity, information production, and trader welfare. We show that selling price data increases the cost of capital and volatility, worsens market efficiency and liquidity, and discourages the production of fundamental information relative to a world in which all traders observe prices. Generally, allowing exchanges to sell price information benefits exchanges and harms liquidity traders. Overall, our results suggest that regulations on selling market data can play an important role in improving market quality and trader welfare.