Publication Type
Journal Article
Version
submittedVersion
Publication Date
2-2023
Abstract
This paper studies simultaneous multilateral search (SMS) in over-the-counter markets: When searching, a customer simultaneously contacts several dealers and trades with the one offering the best quote. Higher search intensity (how often one can search) improves welfare, but higher search capacity (how many dealers one can contact) might be harmful. When the market is in distress, customers might inefficiently favor bilateral bargaining (BB) over SMS. Such a preference for BB speaks to the sluggish adoption of SMS trading, like request-for-quote protocols, in over-the-counter markets. Furthermore, a market-wide shift to SMS may not be socially optimal.
Keywords
Request-for-quote, over-the-counter market, search, bargaining
Discipline
Finance and Financial Management | Portfolio and Security Analysis
Research Areas
Finance
Publication
Review of Financial Studies
Volume
36
Issue
2
First Page
571
Last Page
614
ISSN
0893-9454
Identifier
10.1093/rfs/hhac009
Publisher
Oxford University Press
Citation
GLEBKIN, Sergei; YUESHEN, Bart Zhou; and SHEN, Ji.
Simultaneous multilateral search. (2023). Review of Financial Studies. 36, (2), 571-614.
Available at: https://ink.library.smu.edu.sg/lkcsb_research/7284
Copyright Owner and License
Authors
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
Additional URL
https://doi.org/10.1093/rfs/hhac009