Abstract

http://ssrn.com/abstract=1787029
 
 

References (18)



 
 

Citations (3)



 


 



Differential Access to Price Information in Financial Markets


David Easley


Cornell University - Department of Economics

Maureen O'Hara


Cornell University - Samuel Curtis Johnson Graduate School of Management

Liyan Yang


University of Toronto - Rotman School of Management

February 2013

Johnson School Research Paper Series No. 11-2011

Abstract:     
Recently exchanges have been directly selling market data. We analyze how this practice affects price discovery, the cost of capital, return volatility, and market liquidity. 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 freely observe prices. Generally allowing exchanges to sell price information benefits exchanges and harms liquidity traders. Overall, our results show that allowing exchanges to sell market data, rather than requiring it to be made freely available to the public, is undesirable.

Number of Pages in PDF File: 59

Keywords: Price Data Selling, Cost of Capital, Liquidity, Volatility, Information Acquisition, Complementarities

JEL Classification: G12, G14, G18, D82

working papers series


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Date posted: March 18, 2011 ; Last revised: February 18, 2013

Suggested Citation

Easley, David and O'Hara, Maureen and Yang, Liyan, Differential Access to Price Information in Financial Markets (February 2013). Johnson School Research Paper Series No. 11-2011. Available at SSRN: http://ssrn.com/abstract=1787029 or http://dx.doi.org/10.2139/ssrn.1787029

Contact Information

David Easley (Contact Author)
Cornell University - Department of Economics ( email )
414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6283 (Phone)
607-255-2818 (Fax)
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
607-255-3645 (Phone)
607-255-5993 (Fax)
Liyan Yang
University of Toronto - Rotman School of Management ( email )
105 St. George Street
Toronto, Ontario M5S 3E6
Canada

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