Insiders-outsiders, transparency and the value of the ticker

Arbeitspapier

We 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. As prices are informative about the asset payoff, insiders get a strictly larger expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors. Thus, investors' average welfare is maximal when access to price information is rationed. We show that a market for price information can implement the fraction of insiders that maximizes investors' average welfare. This market features a high price to curb excessive acquisition of ticker information.We also show that informational efficiency is greater when the dissemination of ticker information is broader and more timely.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Working Paper ; No. 628

Klassifikation und Themen

• Klassifikation: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Thema: market data sales ; latency ; transparency ; price discovery ; Hirshleifer effect ; Kapitalanlage ; Transaktionskosten ; Information ; Insiderhandel ; Wohlfahrtseffekt ; Rationale Erwartung ; Theorie

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Cespa, Giovanni ; Foucault, Thierry
• Ereignis: Veröffentlichung
• (wer): Queen Mary University of London, Department of Economics
• (wo): London
• (wann): 2008

Weitere Informationen

• Handle: http://hdl.handle.net/10419/55209
• Letzte Aktualisierung: 10.03.2025, 11:41 MEZ