Stock Market Manipulation in the Presence of Fund Flows
AbstractWe study the manipulation of stock market prices by fund managers in the presence of potential future fund flows. As investors will make further investment as long as the asset price is not fully revealing, the informed manager has incentives to prevent the asset value to be revealed too early, in order to maximise the size of fund flows. Hence in the early trading round, the informed manager always buys the asset even when it is overpriced based on her private information, and the uninformed manager follows suit. Subsequently, the informed manager trades based her private information, and the uninformed one trades based on a mixed strategy. The investors' decisions to invest arise endogenously within the model.
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Bibliographic InfoArticle provided by Society for AEF in its journal Annals of Economics and Finance.
Volume (Year): 14 (2013)
Issue (Month): 2 (November)
Asymmetric information asset pricing; Stock market manipulation; Delegated portfolio management;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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"Noise Trading, Delegated Portfolio Management, and Economic Welfare,"
NBER Working Papers
4858, National Bureau of Economic Research, Inc.
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