Chau, Minh; Vayanos, Dimitri - London School of Economics (LSE) - 2005
We study market efficiency in an infinite-horizon model with a monopolistic insider. The insider can trade with a … competitive market maker and noise traders, and observes privately the expected growth rate of asset dividends. In the absence of … chooses, however, to reveal the information very quickly, within a time converging to zero as the market approaches continuous …