Insider trading in sequential auction markets with risk-aversion and time-discounting

被引：0
|
作者：
Vitale, Paolo [1 ]
机构：
[1] Univ G dAnnunzio, Dept Econ, Viale Pindaro 42, I-65127 Pescara, Italy
来源：
EUROPEAN JOURNAL OF FINANCE | 2017年 / 23卷 / 14期
关键词：
risk-aversion; sequential auction markets; long-lived private information;
D O I：
10.1080/1351847X.2016.1151810
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We extend Kyle's [Kyle, A. S. 1985. Continuous Auctions and Insider Trading.Econometrica 53, 1315-1335] analysis of sequential auction markets to the case in which the insider is risk-averse and discounts her trading profits as her private information is long-lived. We see that time-discounting exacerbates the impact of risk-aversion on the optimal trading strategy of the insider. Ceteris paribus, a larger degree of risk-aversion or a smaller time-discount factor induces the informed agent to consume more rapidly her informational advantage increasing the liquidity and efficiency of the securities market.
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页码：1267 / 1279
页数：13
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