We analyze price formation and liquidity in a non-anonymous specialist market. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of private information. He uses this knowledge to price discriminate. This can be...

Results are reported of a series of nine market experiments with asymmetric information and a fundamental value process that is more 'realistic' than those in previous experiments. Both a call market institution and a continuous double auction mechanism are employed. Considerable pricing...

The study analyses data on stock index forecasts made by private investors. The implied returns calculated from these forecasts exhibit negative skewness and excess kurtosis. Past returns have a positive impact on the implied returns, consistent with investors expecting positive momentum....

Easley / Kiefer / O'Hara / Paperman (1996) (EKOP) have proposed an empirical methodology that allows to estimate the probability of informed trading and that has subsequently been used to address a wide range of issues in market microstructure. The data needed for estimation is the number of...

Using data from the Frankfurt Stock Exchange we analyze price formation and liquidity in a non-anonymous environment with similarities to the floor of the NYSE. Our main hypothesis is that the non-anonymity allows the specialist to assess the probability that a trader trades on the basis of...

The German financial system is the archetype of a bank-dominated system. This implies that organized equity markets are, in some sense, underdeveloped. The purpose of this paper is, first, to describe the German equity markets and, second, to analyze whether it is underdeveloped in any...