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Insiders-outsiders, transparency and the value of the ticker

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  • Foucault, Thierry

    ()

  • Cespa, Giovanni

    ()

Abstract

In this paper, the authors consider a multi-period rational expectations model in which risk-averse investors differ in their information on past transaction prices (the ticker). Some investors (insiders) observe prices in real-time whereas other investors (outsiders) observe prices with a delay.

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Bibliographic Info

Paper provided by HEC Paris in its series Les Cahiers de Recherche with number 892.

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Length: 40 pages
Date of creation: 01 Sep 2008
Date of revision:
Handle: RePEc:ebg:heccah:0892

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Postal: HEC Paris, 78351 Jouy-en-Josas cedex, France
Web page: http://www.hec.fr/
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Related research

Keywords: market data sale; latency; transparency; price discovery; Hirsh-leifer effect;

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References

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  1. James Dow, 2003. "Informed Trading, Investment, and Welfare," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 76(3), pages 439-454, July.
  2. Brennan, Michael J & Cao, H Henry, 1996. "Information, Trade, and Derivative Securities," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 9(1), pages 163-208.
  3. Hirshleifer, Jack, 1971. "The Private and Social Value of Information and the Reward to Inventive Activity," American Economic Review, American Economic Association, American Economic Association, vol. 61(4), pages 561-74, September.
  4. Cespa, Giovanni, 2004. "Information Sales and Insider Trading," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4667, C.E.P.R. Discussion Papers.
  5. Verrecchia, Robert E, 1982. "Information Acquisition in a Noisy Rational Expectations Economy," Econometrica, Econometric Society, Econometric Society, vol. 50(6), pages 1415-30, November.
  6. Mulherin, J Harold & Netter, Jeffry M & Overdahl, James A, 1992. "Prices Are Property: The Organization of Financial Exchanges from a Transaction Cost Perspective," Journal of Law and Economics, University of Chicago Press, University of Chicago Press, vol. 34(2), pages 591-644, October.
  7. Admati, Anat R. & Pfleiderer, Paul, 1986. "A monopolistic market for information," Journal of Economic Theory, Elsevier, Elsevier, vol. 39(2), pages 400-438, August.
  8. Giovanni Cespa, 2007. "Information Sales and Insider Trading with Long-lived Information," Working Papers, Queen Mary, University of London, School of Economics and Finance 613, Queen Mary, University of London, School of Economics and Finance.
  9. Diamond, Douglas W, 1985. " Optimal Release of Information by Firms," Journal of Finance, American Finance Association, American Finance Association, vol. 40(4), pages 1071-94, September.
  10. Medrano, Luis Angel & Vives, Xavier, 2002. "Regulating Insider Trading when Investment Matters," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3292, C.E.P.R. Discussion Papers.
  11. José M. Marín & Rohit Rahi, 1996. "Information revelation and market incompleteness," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra 145, Department of Economics and Business, Universitat Pompeu Fabra.
  12. HELLWIG, Martin F., . "Rational expectations equilibrium with conditioning on past prices: a mean-variance example," CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) -480, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Hellwig, Martin F., 1980. "On the aggregation of information in competitive markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 22(3), pages 477-498, June.
  14. Madhavan, Ananth, 1995. "Consolidation, Fragmentation, and the Disclosure of Trading Information," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 8(3), pages 579-603.
  15. Admati, Anat R. & Pfleiderer, Paul, 1987. "Viable allocations of information in financial markets," Journal of Economic Theory, Elsevier, Elsevier, vol. 43(1), pages 76-115, October.
  16. Craig Pirrong, 2002. "Securities Market Macrostructure: Property Rights and the Efficiency of Securities Trading," Journal of Law, Economics and Organization, Oxford University Press, Oxford University Press, vol. 18(2), pages 385-410, October.
  17. Hasbrouck, Joel, 1995. " One Security, Many Markets: Determining the Contributions to Price Discovery," Journal of Finance, American Finance Association, American Finance Association, vol. 50(4), pages 1175-99, September.
  18. Giovanni Cespa, 2007. "Information Sales and Insider Trading with Long-lived Information," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 174, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  19. Xavier Vives, 1994. "Short-term Investment and the Informational Efficiency of the Market," CEPR Financial Markets Paper, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ 0034, European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
  20. Biais, Bruno, 1993. " Price Information and Equilibrium Liquidity in Fragmented and Centralized Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 48(1), pages 157-85, March.
  21. Admati, Anat R & Pfleiderer, Paul, 1990. "Direct and Indirect Sale of Information," Econometrica, Econometric Society, Econometric Society, vol. 58(4), pages 901-28, July.
  22. Reena Aggarwal & Sandeep Dahiya, 2006. "Demutualization and Public Offerings of Financial Exchanges," Journal of Applied Corporate Finance, Morgan Stanley, Morgan Stanley, vol. 18(3), pages 96-106.
  23. Pagano, Marco & Roell, Ailsa, 1996. " Transparency and Liquidity: A Comparison of Auction and Dealer Markets with Informed Trading," Journal of Finance, American Finance Association, American Finance Association, vol. 51(2), pages 579-611, June.
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Citations

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Cited by:
  1. Álvaro Cartea & José Penalva, 2011. "Where is the value in high frequency trading?," Banco de Espa�a Working Papers, Banco de Espa�a 1111, Banco de Espa�a.
  2. Cespa, Giovanni & Foucault, Thierry, 2011. "Learning from Prices, Liquidity Spillovers, and Market Segmentation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8350, C.E.P.R. Discussion Papers.
  3. Giovanni Cespa & Xavier Vives, 2008. "Dynamic Trading and Asset Prices: Keynes vs. Hayek," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy 191, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  4. Sirnes, Espen, 2011. "Why falling information costs may increase demand for index funds," Review of Financial Economics, Elsevier, Elsevier, vol. 20(1), pages 37-47, January.
  5. Yacine Aït-Sahalia & Mehmet Saglam, 2013. "High Frequency Traders: Taking Advantage of Speed," NBER Working Papers 19531, National Bureau of Economic Research, Inc.
  6. Giovanni Cespa, 2007. "Information Sales and Insider Trading with Long-lived Information," Working Papers, Queen Mary, University of London, School of Economics and Finance 613, Queen Mary, University of London, School of Economics and Finance.

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