Conference Agenda

Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).

Please note that all times are shown in the time zone of the conference. The current conference time is: 9th May 2025, 03:46:50am EDT

 
 
Session Overview
Session
Track TH7-1: Liquidity and Price Informativeness
Time:
Thursday, 22/May/2025:
8:30am - 9:15am

Session Chair: Vincent Glode, Wharton
Discussant: Stephen Lenkey, Penn State
Location: Babbio Center 104


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Presentations

Trade-Off? What Trade-Off: Informative Prices without Illiquidity

Thierry Foucault2, Kostas Koufopoulos3, Roman Kozhan1

1University of Warwick; 2HEC Paris; 3University of Sussex

Private information production in financial markets enhances asset price informativeness, aiding efficient decision-making. Investors pay for information to profit from trading, creating a trade-off between market informativeness and illiquidity costs. Using a mechanism design approach, we show price informativeness can be achieved without illiquidity, at a cost equal to producing information. This mechanism incentivizes efficient information production, avoiding the inefficiency of profits obtained at the expense of less informed investors.

Foucault-Trade-Off What Trade-Off-1149.pdf


 
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