Sebastian Vogel

Quartier UNIL-Dorigny
CH-1015 Lausanne

Working papers:
  • Electronic Trading in OTC Markets vs. Centralized Exchange  (with Ying Liu and Yuan Zhang)
    • We model a two-tiered market structure in which an investor can trade an asset on a trading platform with a set of dealers who in turn have access to an interdealer market. The investor's order is informative about the asset's payoff and dealers who were contacted by the investor use this information in the interdealer market. Increasing the number of contacted dealers lowers markups through competition but increases the dealers' costs of providing the asset through information leakage. We then compare a centralized market in which investors can trade among themselves in a central limit order book to a market in which investors have to use the electronic platform to trade the asset. With imperfect competition among dealers, investor welfare is higher in the centralized market if private values are strongly dispersed or if the mass of investors is large.

  • When to Introduce Electronic Trading Platforms in Over-the-Counter Markets?
    • I study a hybrid over-the-counter (OTC) market structure in which traders have the choice of obtaining an asset from dealers either in a bilateral market or on an electronic trading platform. In a hybrid market (HM), turnover is higher and traders are better off than in a pure bilateral market (PBM). I present sufficient conditions under which dealer profits are higher in the HM than in the PBM and vice versa. Regulators can improve welfare by mandating electronic trading if search costs on the platform are low. Whether search costs are sufficiently low could be tested, using the model implications.

Older papers:
  • Winning with IVOL (with Anton Kristiansson)
    • Idiosyncratic volatility has an increasing effect on returns. This increasing effect is strongest for small stocks, which can be explained by investors' underdiversification. Previous studies that found a decreasing effect did not control for the low-beta anomaly. A factor that captures the premium for idiosyncratic volatility has significant explanatory power for the cross-section of returns.