文档介绍：Sunshine Trading and
Financial Market Equilibrium
Anat R. Admati
Paul Pfleiderer
Stanford University
In this article, we consider the possibility that some
liquidity traders preannounce the size of their
orders, a practice that e to be known as
“sunshine trading.” Two possible effects prean-
nouncement might have on the equilibrium are
examined. First, since it identifies certain traders
as informationless, preannouncement changes the
nature of any informational asymetries in the
market. Second, preannouncement can coordi-
nate the supply and demand of liqudity in the
market. We show that preannouncement typicaly
reduces the trading costs of those who prean-
nounce, but its effects on the trading costs and
welfare of other traders are ambiguous. We also
examine the implications of preannouncement for
the distribution of prices and the amount of infor-
mation that prlces reveal.
Much attention has been focused in recent years,
especially following the crash of October 1987, on
the liquidity of financial markets. Some have sug-
gested that liquidity would be enhanced if traders
engaged in “sunshine trading.” A trader following a
Support from the Institute for Quantitative Research in Finance. the Sloan
Foundation, the Batterymarch and Anne T. and Robert M. Bass fellowships,
and the Stanford Program in Finance is gratefully acknowledged. Part of this
article was written while the first author was at the Recanati School of Man-
agement at Tel-Aviv University. We would like to thank Mark Rubinstein for
suggesting this topic and for ments. We have benefited from the
comments of Fischer Black, Jürgen Dennert, David Kreps, Allsa Röell, Steve
Wunsch, an anonymous referee, and especially Chester Spatt. We ate also
grateful for ments of the seminar participants at UBC. Stanford, Cal
Tech, and Tel-Aviv University and at the NYSE/USC/UCLA (Market Micro-
structure) and CEPR/STEP (Financial Intermediation and Saving Behavior)
symposia. Address