文档介绍：Do In v en t or ie s Ma t t er In De alership Mar k et s?
Evid ence F rom t h e Lon don St oc k Exc h an ge
Oliv er Hansc h Naray an Y. Naik S. Vi sw an a t h an
Marc h 1993
La t e st Revi s ion July 1997
fort hcomin g Journal of Financ e
A b stract
Us in g Lon don St oc k Exc h an ge d a t a, w et est t h e cen tral imp lica t ion of t h e
canonical mo d el of Ho an dSt oll 1983 t h a t rela t iv ein v en t ory di erence s
d et ermin ed e aler b e h a vior. W e n dt h a t rela t iv ein v en t or ie s exp lain whic h
d e alers obt ain large trad es an dsh o wt h a tmo v em e n t sbet w een b e st ask, b e st
bid an d straddle are highly correla t e d wit hbot hst an d ardize d an d rela t iv e
in v en t ory c h an ge s. W esh o wt h a tt h em e an rev ers ion in in v en t or ie s i s highly
nonlin ear an d incre as in ginin v en t ory lev els. W esh o wt h a tak ey d et ermin an t
of v ar ia t ions in in t er-d e aler tradin gisin v en t or ie s an dt h a tin t er-d e aler tradin g
p lays an imp ort an tro le in m an agin g large in v en t ory posit ions.
Hansc h i s f rom Bir kb ec k College, Univ ers it y of Lon don, Naik i s f rom t h e Lon don
Bus in ess Sc h o ol, an dVisw an a t h an i s f rom t h eF uqua Sc h o ol of Bus in e ss, Duk e Univ ers it y .
Th em a jor it yoft hi s re s earc hw as u n d ert ak en while t h e rst a u t h or w as a t Lon don Bus in ess
Sc h o ol. W ew ould lik et ot h ank St ev en W ells an d Gra h am Hart of t h e Lon don St oc k
Exc h an ge for pro vidin g us wit ht h ed a ta. W e are gra t eful t o Ren
eSt ulz t h e e dit or an d
an anon ymous referee for d et aile m en t st h a th a v e focused t h e pap er an d impro v ed
it cons id era bly .W et h ank Judit h Go for h er h elp in e dit in gt h e pap er. W et h ank Y aco v
Amih ud, Ric h ard Brealey ,F ranci s Bree don, Greg Connor, Elro y Dimson, Phil Dyb vig,
Doug F ost er, Simon Gerv ai s, K en Ka v a jecz, An an t h Madh a v an,