Do Inventories Matter In Dealership Markets? Evidence From the London Stock Exchange

Hansch, Oliver; Viswanathan, S.; Naik, Narayan Y.

doi:10.2139/ssrn.39440

Cited by 99 publications

(92 citation statements)

References 34 publications

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“…For equity markets, empirical evidence in support of the inventory theory has been found by Hansch et al (1998) and Hendershott and Menkveld (2013). These papers detect significant price pressures from dealers' inventories.…”

Section: Potential Sources Of Yield Effects Of Auctionsmentioning

confidence: 89%

Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis

et al. 2013

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Section: Potential Sources Of Yield Effects Of Auctionsmentioning

confidence: 89%

Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis

et al. 2013

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“…1 See Hasbrouck and Sofianos (1993), Madhavan and Smidt (1993), and Madhavan and Sofianos (1998) for the New York Stock Exchange, Hansch, Naik, and Viswanathan (1998), Reiss and Werner (1998), and Naik and Yadav (2003a) for the London Stock Exchange, Manaster and Mann (1996) for futures markets, and Lyons (1995) and Cao, Evans, and Lyons (2006) for the foreign exchange market.…”

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confidence: 99%

How Do Treasury Dealers Manage Their Positions?

Fleming¹,

Rosenberg²

2008

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractUsing data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in the intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during auction weeks. These inventory increases are only partially offset in adjacent weeks and are not significantly hedged with futures. Dealers seem to be compensated for the risk associated with these inventory changes by means of price appreciation in the subsequent week.

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“…While London has lower execution costs than NASDAQ (see Hansch et al, 1998), it has also moved to electronic order book trading for the FT100 stocks as of October 20, 1997. 3 Inter-market competition, especially the poorer executions offered in London for small orders (relative to other European exchanges) led to these changes.…”

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confidence: 99%

Market architecture: limit-order books versus dealership markets

Viswanathan

Wang²

2002

Journal of Financial Markets

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We analyze the customer's choice with respect to a limit-order book, a dealership market, and a hybrid market structure that combines the two. The customer's sell order is competed for and divided among a finite number of risk-averse market makers. We present a general characterization of equilibrium in the limit-order book. We show that when the order flow has a linear hazard ratio, the limit order book is preferred by risk neutral customers. However, a risk averse customer will prefer to trade in a dealership market when the number of market makers is large. Further, for risk averse customers, the hybrid market structure can dominate the dealership market and the limit-order book. The results are driven by a tradeoff between two features of the equilibrium demand schedules: a bid-shading effect that operates differently in a limit-order book compared with a dealership market, and a zero-quantity bid-ask spread that is present in the limit-order book only. r 2002 Published by Elsevier Science B.V.

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Do Inventories Matter In Dealership Markets? Evidence From the London Stock Exchange

Cited by 99 publications

References 34 publications

Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis

Price Effects of Sovereign Debt Auctions in the Euro-Zone: The Role of the Crisis

How Do Treasury Dealers Manage Their Positions?

Market architecture: limit-order books versus dealership markets

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