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The existence of a linear equilibrium in Kyle's model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been...
Persistent link: https://www.econbiz.de/10010263132
The unmediated call auction is a useful trading mechanism to aggregate dispersed information. Its ability to incorporate information of a single informed insider, however, is less well understood. We analyse this question by presenting a simple call auction game where both auction prices and...
Persistent link: https://www.econbiz.de/10010275685
The disclosure requirements for firms issuing equity on German crowdinvestingplatforms are quite lax at the moment. This paper states that this loose requirement policy is not optimal in the presence of competition among platforms. First, a simple three-staged theoretical model is derived to...
Persistent link: https://www.econbiz.de/10010319286
We study the use of trading strategies and their profitability in experimental asset markets with asymmetrically informed traders. We find that insiders make most of their profits from trades which are initiated by their limit orders especially at the beginning of a period and when the change in...
Persistent link: https://www.econbiz.de/10010294842
Traders' values and information typically consist of both private and common-value elements. In such environments, full allocative efficiency is impossible when the private rate of information substitution differs from the social rate (Jehiel and Moldovanu, 2001). We link this impossibility...
Persistent link: https://www.econbiz.de/10010316881
informed trading on firm characteristics that is largely consistent with intuition and earlier theory and empirical evidence …
Persistent link: https://www.econbiz.de/10010302554
Fundamental information resembles in many respects a durable good. Hence, the effects of its incorporation into stock prices depend on who is the agent controlling its flow. Like a durable goods monopolist, a monopolistic analyst selling information intertemporally competes against herself. This...
Persistent link: https://www.econbiz.de/10010284162
We consider Kyle's market order model of insider trading with multiple informed traders and show: if a linear equilibrium exists for two different numbers of informed traders, asset payoff and noise trading are independent and have finite second moments, then these random variables are normally...
Persistent link: https://www.econbiz.de/10010317636
the role of the market maker. Most theory characterizes him as an uninformed passive liquidity supplier. Our results …
Persistent link: https://www.econbiz.de/10010326072
The existence of a linear equilibrium in Kyle's model of market making with multiple, symmetrically informed strategic traders is implied for any number of strategic traders if the joint distribution of the underlying exogenous random variables is elliptical. The reverse implication has been...
Persistent link: https://www.econbiz.de/10010334043