Advanced Search
MyIDEAS: Login

Stock Market Manipulation in the Presence of Fund Flows

Contents:

Author Info

  • Xiangbo Liu

    (Hanqing Advanced Institute of Economics and Finance and School of Economics, Renmin University of China)

  • Zijun Liu

    (London School of Economics)

  • Zhigang Qiu

    (Hanqing Advanced Institute of Economics and Finance and School of Economics, Renmin University of China)

Registered author(s):

    Abstract

    We 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.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://down.aefweb.net/AefArticles/aef140208Liu.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Society for AEF in its journal Annals of Economics and Finance.

    Volume (Year): 14 (2013)
    Issue (Month): 2 (November)
    Pages: 483-491

    as in new window
    Handle: RePEc:cuf:journl:y:2013:v:14:i:2:liu:liu:qiu

    Contact details of provider:
    Web page: http://www.aeconf.net/
    More information through EDIRC

    Related research

    Keywords: Asymmetric information asset pricing; Stock market manipulation; Delegated portfolio management;

    Find related papers by JEL classification:

    References

    References listed on IDEAS
    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.:
    as in new window
    1. Fishman, Michael J & Hagerty, Kathleen M, 1995. "The Mandatory Disclosure of Trades and Market Liquidity," Review of Financial Studies, Society for Financial Studies, vol. 8(3), pages 637-76.
    2. Prat, Andrea & Dasgupta, Amil, 2006. "Financial equilibrium with career concerns," Theoretical Economics, Econometric Society, vol. 1(1), pages 67-93, March.
    3. James Dow & Gary Gorton, 1994. "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Center for Financial Institutions Working Papers 95-10, Wharton School Center for Financial Institutions, University of Pennsylvania.
    4. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    5. Allen, Franklin & Gorton, Gary, 1993. "Churning Bubbles," Review of Economic Studies, Wiley Blackwell, vol. 60(4), pages 813-36, October.
    6. John, Kose & Narayanan, Ranga, 1997. "Market Manipulation and the Role of Insider Trading Regulations," The Journal of Business, University of Chicago Press, vol. 70(2), pages 217-47, April.
    Full references (including those not matched with items on IDEAS)

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:cuf:journl:y:2013:v:14:i:2:liu:liu:qiu. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Qiang Gao).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.