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hal.structure.identifierDauphine Recherches en Management [DRM]
dc.contributor.authorDugast, Jérome
dc.date.accessioned2021-09-13T10:45:08Z
dc.date.available2021-09-13T10:45:08Z
dc.date.issued2021
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/21755
dc.language.isoenen
dc.subjectOrder Booken
dc.subjectLimit Order Execution Rateen
dc.subjectWelfareen
dc.subject.ddc658.8en
dc.subject.classificationjelG.G1.G14en
dc.subject.classificationjelD.D8.D82en
dc.subject.classificationjelD.D8.D83en
dc.titleInefficient Market Depthen
dc.typeCommunication / Conférence
dc.description.abstractenAn investor who uses a limit order in order to trade, instead of a market order, saves the bid-ask spread but incurs an execution delay. Thus, the use of limit orders slows down the rate at which gains from trade are realized, and then has a negative effect on welfare. With comparative statics, I show how some liquidity measures co-vary with investors’ welfare. I find that market depth negatively co-varies with welfare while the limit order execution rate positively co-varies with welfare. Indeed, when market depth is due to orders inefficiently queuing in the book, the limit order execution rate is low. It suggests that limit order execution rate should be taken into consideration for assessing market quality.en
dc.subject.ddclabelEtudes et analyses des marchésen
dc.relation.conftitle37th International Conference of the French Finance Association (AFFI)en
dc.relation.confdate2021-05
dc.relation.confcityNantes / Onlineen
dc.relation.confcountryFranceen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewednonen
dc.date.updated2021-09-13T10:16:45Z
dc.subject.classificationjelHALG - Financial Economics::G1 - General Financial Markets::G14 - Information and Market Efficiency; Event Studies; Insider Tradingen
dc.subject.classificationjelHALD - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D82 - Asymmetric and Private Information; Mechanism Designen
dc.subject.classificationjelHALD - Microeconomics::D8 - Information, Knowledge, and Uncertainty::D83 - Search; Learning; Information and Knowledge; Communication; Belief; Unawarenessen
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