Measuring Private Information in a Canonical Specialist Market: A Comparative Study
University of Arizona - Department of Finance
University of Michigan - Dearborn
February 8, 2013
We consider the efficacy of statistical measures of asymmetric information in the context of a canonical specialist market. We note that none of the measures is nested within a larger model, so we cannot evaluate goodness of fit using standard statistical tools. Furthermore, we find that pairwise correlations amongst the measures are small. Therefore, we benchmark these measures cross-sectionally to realized specialist loss rates (using alternatively volume and number of trades) in the TORQ data. We find that most measures are positively correlated with specialist loss rates, and two of the six models we consider statistically dominate the other four.
Number of Pages in PDF File: 41working papers series
Date posted: July 5, 2012 ; Last revised: February 12, 2013
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo5 in 0.734 seconds