Advanced Search
MyIDEAS: Login to save this article or follow this journal

Insider Trading With a Random Deadline

Contents:

Author Info

  • RenÈ Caldentey
  • Ennio Stacchetti
Registered author(s):

    Abstract

    We 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 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://hdl.handle.net/10.3982/ECTA7884
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    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 Info

    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 78 (2010)
    Issue (Month): 1 (01)
    Pages: 245-283

    as in new window
    Handle: RePEc:ecm:emetrp:v:78:y:2010:i:1:p:245-283

    Contact details of provider:
    Phone: 1 212 998 3820
    Fax: 1 212 995 4487
    Email:
    Web page: http://www.econometricsociety.org/
    More information through EDIRC

    Order Information:
    Email:
    Web: http://www.blackwellpublishing.com/memb.asp?ref=0012-9682

    Related research

    Keywords:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Wassim Daher & Harun Aydilek & Fida Karam & Asiye Aydilek, 2014. "Insider trading with product differentiation," Journal of Economics, Springer, vol. 111(2), pages 173-201, March.
    2. 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.
    3. Dimitri Vayanos & Jiang Wang, 2012. "Market Liquidity — Theory and Empirical Evidence," NBER Working Papers 18251, National Bureau of Economic Research, Inc.
    4. Pierre Collin-Dufresne & Vyacheslav Fos, 2012. "Insider Trading, Stochastic Liquidity and Equilibrium Prices," NBER Working Papers 18451, National Bureau of Economic Research, Inc.
    5. repec:hal:journl:halshs-00676502 is not listed on IDEAS
    6. Grégoire, Philippe & Huang, Hui, 2012. "Information disclosure with leakages," Economic Modelling, Elsevier, vol. 29(5), pages 2005-2010.
    7. Umut \c{C}etin & Albina Danilova, 2014. "Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems," Papers 1407.2420, arXiv.org.

    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:ecm:emetrp:v:78:y:2010:i:1:p:245-283. 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: (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.