"Trades, Quotes and the Cost of Capital"
21 Marzo 2017
El Centro de Economía Aplicada del Departamento de Ingeniería Industrial y  el Instituto Milenio para la Investigación en Imperfecciones de Mercado y Políticas Publicas de la Universidad de Chile, organizaron la presentación del Paper:
 
"Trades, Quotes and the Cost of Capital"
 
A cargo de Ioanid Rosu, école des hautes études commerciales de Paris - HEC París.

Abstract
This paper studies the quote-to-trade (QT) ratio, and its relation with liquidity, price discovery and expected returns. Empirically, we find larger QT ratios in small or illiquid firms, yet large QT ratios are associated with low expected returns. The results are driven by quotes, not by trades. We propose a model of the QT ratio consistent with these facts. In equilibrium, market makers monitor the market faster (and thus increase the QT ratio) in difficult-to-understand stocks. They also monitor faster when their clients are less risk averse, which reduces mispricing and lowers expected returns.


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