Insider Trading With a Random Deadline
AbstractWe consider a model of strategic trading with asymmetric information of an asset whose value follows a Brownian motion. An insider continuously observes a signal that tracks the evolution of the asset's fundamental value. The value of the asset is publicly revealed at a random time. The equilibrium has two regimes separated by an endogenously determined time T. In [0, T), the insider gradually transfers her information to the market. By time T, all her information has been transferred and the price agrees with the market value of the asset. In the interval [T, ∞), the insider trades large volumes and reveals her information immediately, so market prices track the market value perfectly. Despite this market efficiency, the insider is able to collect strictly positive rents after T. Copyright 2010 The Econometric Society.
Download InfoIf 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.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Econometric Society in its journal Econometrica.
Volume (Year): 78 (2010)
Issue (Month): 1 (01)
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Wassim Daher & Harun Aydilek & Fida Karam & Asiye Adydilek, 2012.
"Insider trading with product differentiation,"
Documents de travail du Centre d'Economie de la Sorbonne
12014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
- Wassim Daher & Harun Aydilek & Fida Karam & Asiye Aydilek, 2012. "Insider Trading With Product Differentiation," UniversitÃ© Paris1 PanthÃ©on-Sorbonne (Post-Print and Working Papers) halshs-00676502, HAL.
- repec:hal:journl:halshs-00676502 is not listed on IDEAS
- Grégoire, Philippe & Huang, Hui, 2012. "Information disclosure with leakages," Economic Modelling, Elsevier, vol. 29(5), pages 2005-2010.
- Dimitri Vayanos & Jiang Wang, 2012.
"Market Liquidity — Theory and Empirical Evidence,"
NBER Working Papers
18251, National Bureau of Economic Research, Inc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).
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.