Uninformed Traders in European Stock Markets
AbstractA fully informed agent bets with an uninformed over the capital gains of an asset. A divide-and-choose idea is adapted to induce both trade and revelation of information, but in equlibrium the uninformed buys high and sells low if he is downside risk averse. The result may be seen as an informed-price-maker counterpart of some findings of Glosten-Milgrom (1985) and Kyle (1985) on uninformed agents trading in financial markets.
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Bibliographic InfoArticle provided by FrancoAngeli Editore in its journal STUDI ECONOMICI.
Volume (Year): LXV (2010)
Issue (Month): 100 ()
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Web page: http://www.francoangeli.it/riviste/sommario.asp?IDRivista=59
Find related papers by JEL classification:
- D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
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