Essec\Faculty\Model\Contribution {#2233
  #_index: "academ_contributions"
  #_id: "804"
  #_source: array:26 [
    "id" => "804"
    "slug" => "cold-case-file-inventory-risk-and-information-sharing-during-the-pre-1997-nasdaq"
    "yearMonth" => "2017-05"
    "year" => "2017"
    "title" => "Cold Case File? Inventory Risk and Information Sharing during the pre-1997 NASDAQ"
    "description" => "LESCOURRET, L. (2017). Cold Case File? Inventory Risk and Information Sharing during the pre-1997 NASDAQ. <i>European Financial Management</i>, 23(4), pp. 761–806."
    "authors" => array:1 [
      0 => array:3 [
        "name" => "LESCOURRET Laurence"
        "bid" => "B00024824"
        "slug" => "daures-laurence"
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:5 [
      0 => "OTC markets"
      1 => "Preopen"
      2 => "NASDAQ"
      3 => "Information sharing"
      4 => "Price reversals"
    ]
    "updatedAt" => "2021-09-24 10:33:27"
    "publicationUrl" => "https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3045565"
    "publicationInfo" => array:3 [
      "pages" => "761–806"
      "volume" => "23"
      "number" => "4"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "This paper shows that dealers in Over-The-Counter (OTC) markets might choose to share information about transient price pressures. Using data from the pre-1997 NASDAQ preopening, I find that the frequency and magnitude of non-positive spreads (the information-sharing vehicle) initiated by wholesalers (specialised market-makers with a high exposure to inventory risk) are strongly related to opening price reversals and daily trading imbalances. This activity is more likely to occur on days of large liquidity shocks, and it is not observed for other dealers. Overall, the obligation to absorb price pressure at a yet unknown opening price might induce dealers to communicate the direction in which the opening price should move. The findings contain lessons for the design of today’s OTC markets."
      "en" => "This paper shows that dealers in Over-The-Counter (OTC) markets might choose to share information about transient price pressures. Using data from the pre-1997 NASDAQ preopening, I find that the frequency and magnitude of non-positive spreads (the information-sharing vehicle) initiated by wholesalers (specialised market-makers with a high exposure to inventory risk) are strongly related to opening price reversals and daily trading imbalances. This activity is more likely to occur on days of large liquidity shocks, and it is not observed for other dealers. Overall, the obligation to absorb price pressure at a yet unknown opening price might induce dealers to communicate the direction in which the opening price should move. The findings contain lessons for the design of today’s OTC markets."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-11-21T10:21:50.000Z"
    "docTitle" => "Cold Case File? Inventory Risk and Information Sharing during the pre-1997 NASDAQ"
    "docSurtitle" => "Articles"
    "authorNames" => "<a href="/cv/daures-laurence">LESCOURRET Laurence</a>"
    "docDescription" => "<span class="document-property-authors">LESCOURRET Laurence</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2017</span>"
    "keywordList" => "<a href="#">OTC markets</a>, <a href="#">Preopen</a>, <a href="#">NASDAQ</a>, <a href="#">Information sharing</a>, <a href="#">Price reversals</a>"
    "docPreview" => "<b>Cold Case File? Inventory Risk and Information Sharing during the pre-1997 NASDAQ</b><br><span>2017-05 | Articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3045565" target="_blank">Cold Case File? Inventory Risk and Information Sharing during the pre-1997 NASDAQ</a>"
  ]
  +lang: "fr"
  +"_type": "_doc"
  +"_score": 9.064929
  +"parent": null
}