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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CFS Working Paper ; No. 2008/39

Classification and Topics

• Classification: Wirtschaft ; General Financial Markets: General (includes Measurement and Data) ; Asset Pricing; Trading Volume; Bond Interest Rates ; Information and Market Efficiency; Event Studies; Insider Trading
• Subject: Market Data Sales ; Latency ; Transparency ; Price Discovery ; Hirshleifer Effect ; Kapitalanlage ; Transaktionskosten ; Information ; Insiderhandel ; Wohlfahrtseffekt ; Rationale Erwartung ; Theorie

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Cespa, Giovanni ; Foucault, Thierry
• Event: Veröffentlichung
• (who): Goethe University Frankfurt, Center for Financial Studies (CFS)
• (where): Frankfurt a. M.
• (when): 2008

Further information

• Handle: http://hdl.handle.net/10419/43261
• URN: urn:nbn:de:hebis:30-62189
• Last update: 10.03.2025, 11:42 AM CET