Mann, Venkataraman And Waisburd-Stock Liquidity And The Value Of A Designated Liquidity Provider Evidence From Paris Euronext
This paper studies the value of a designated liquidity provider (DLP) in an electronic limit order book. We conduct a natural controlled experiment by examining a sample of Euronext Paris securities that trades both with and without the assistance of a market maker.We find that less liquid stocks experience a statistically significant cumulative abnormal return […]