The present study contributes to the ongoing debate on possible costs and benefits of insider trading. We present a novel call auction model with insider information. Our model predicts that more insider information improves informational efficiency of prices, but this comes at the expense of...

This paper analyzes the impact of both penal law and prosecution of insider trading on the informational efficiency of securities markets. We show that increasing the severity of penalties to insider trading as well as making insider prosecution more efficient might improve the price discovery...

The trading of securities on multiple markets raises the question of each market's share in the discovery of the informationally efficient price. We exploit salient distributional features of multivariate financial price processes to uniquely determine these contributions. Thereby we resolve the...