Frutos, M. Ángeles de; Manzano, Carolina - In: Journal of Finance 57 (2002) 2, pp. 959-984
Using a model of market making with inventories based on Biais (1993), we find that investors obtain more favorable execution prices, and they hence invest more, when markets are fragmented. In our model, risk-averse dealers use less aggressive price strategies in more transparent markets...