de Jong, Cyriel; Koedijk, Kees; Schnitzlein, Charles - C.E.P.R. Discussion Papers - 2002
We use a controlled economic experiment to examine the implications of asymmetric information for informational linkages between a stock market and a traded call option on that stock. The setting is based on the Kyle model and Back (1993). We find that an insider trades aggressively in both the...