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Spéculation et intérêt collectif

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  • Vila, Jean-Luc

    (Princeton University)

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    Abstract

    A model is developed where the possibility to speculate on a financial market incites a rational individual to take a socially bad action. For this purpose, we shall model the microstructure of the trading process. Our model determines the movement of prices, their informational content and the liquidity of the market. The example considered here is to be contrasted with the one studied by Hirshleifer (1971) where speculative opportunities favor the internalization of positive externalities. Cet article décrit une situation où la possibilité de spéculer sur un marché financier incite un individu rationnel à avoir une action socialement néfaste. Pour cela, on utilisera une modélisation microstructurelle du processus d’échange, qui endogénéise le mouvement des prix, leur contenu informationnel et la liquidité du marché. L’exemple considéré ici est à opposer à celui étudié par Hirshleifer (1971), où les opportunités spéculatives favorisent l’internalisation d’externalités positives.

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    Bibliographic Info

    Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

    Volume (Year): 63 (1987)
    Issue (Month): 2 (juin et septembre)
    Pages: 138-152

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    Handle: RePEc:ris:actuec:v:63:y:1987:i:2:p:138-152

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    1. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
    2. Albert S. Kyle & Jean-Luc Vila, 1991. "Noise Trading and Takeovers," RAND Journal of Economics, The RAND Corporation, vol. 22(1), pages 54-71, Spring.
    3. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, vol. 61(4), pages 561-74, September.
    4. Kreps, David M & Wilson, Robert, 1982. "Sequential Equilibria," Econometrica, Econometric Society, vol. 50(4), pages 863-94, July.
    5. Kenneth Arrow, 1962. "Economic Welfare and the Allocation of Resources for Invention," NBER Chapters, in: The Rate and Direction of Inventive Activity: Economic and Social Factors, pages 609-626 National Bureau of Economic Research, Inc.
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    Cited by:
    1. Rochet, Jean-Charles. & Vila, Jean-Luc., 1991. "Insider trading and market manipulations--existence and uniqueness of equilibrium," Working papers 3318-91., Massachusetts Institute of Technology (MIT), Sloan School of Management.

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