Over-the-Counter versus Limit-Order Markets: The Role of Traders’ Expertise
研究了当交易者专业知识内生时，场外交易市场与限价订单市场的效率比较，发现场外市场中少数核心交易者因不对称访问权获得更高专业知识租金，而专业知识对效率的影响取决于其是改善配置效率还是引发逆向选择。
Abstract Over-the-counter (OTC) markets attract substantial trading volume despite exhibiting frictions absent in centralized limit-order markets. We compare the efficiency of OTC and limit-order markets when traders’ expertise is endogenous. We show that asymmetric access to counterparties in OTC markets yields increased rents from expertise acquisition for a few well-connected core traders. When the existence of gains to trade is uncertain, traders’ higher expertise in OTC markets can improve allocative efficiency. In contrast, when expertise primarily causes adverse selection, competitive limit-order markets tend to dominate. Our model provides guidance for policy makers and empiricists evaluating the efficiency of market structures.