英文文献：Paying for Market Quality-为市场质量买单
英文文献作者：Amber Anand,Carsten Tanggaard,Daniel G. Weaver
英文文献摘要：
Since the affirmative obligations of liquidity providers are costly, electronic markets have struggled with the means of providing compensation to liquidity providers in return for assuming these obligations. This problem is acute for small stocks, which benefit most from the presence of designated liquidity providers. In this study, we examine the 2002 decision by the Stockholm Stock Exchange to allow listed firms to directly negotiate with liquidity suppliers for a desired level of liquidity in exchange for a negotiated fee. We find that benefits accrue to firms that enter into such arrangements in the form of significant improvements in market quality as well as price discovery. Further, we find that a firm’s stock price rises in direct proportion to the improvements in market quality. We study the determinants of the compensation for liquidity provision and document a link between contracted fees and the level of desired liquidity. By examining the trading of liquidity providers we find that their propensity to supply liquidity increases at times of large spreads, and against market movements. Our findings suggest that firms should consider these market quality improvement opportunities as they do other capital budgeting decisions, especially in light of the positive externalities that we find accrue to the liquidity of the firms’ stocks.

由于流动性提供者的肯定义务代价高昂，电子市场一直在努力设法向流动性提供者提供补偿，以作为承担这些义务的回报。这个问题对小盘股尤为严重，因为它们从指定流动性提供者的存在中获益最大。在这项研究中，我们考察了2002年斯德哥尔摩证券交易所的决定，即允许上市公司直接与流动性供应商谈判，以获得一个理想的流动性水平，以换取谈判费用。我们发现，签订此类协议的公司会以市场质量显著改善和价格发现的形式获益。此外，我们发现公司股价的上升与市场质量的改善成正比。我们研究了流动性供给补偿的决定因素，并证明了合同费用与预期流动性水平之间的联系。通过考察流动性提供者的交易，我们发现他们的流动性供给倾向在大的价差时增加，并且不利于市场变动。我们的研究结果表明，企业在做其他资本预算决策时应该考虑这些市场质量改善的机会，特别是在我们发现的企业股票流动性所带来的正外部性的情况下。