Insiders-Outsiders, Transparency and the Value of the Ticker - HEC Paris - École des hautes études commerciales de Paris Access content directly
Reports Year :

Insiders-Outsiders, Transparency and the Value of the Ticker

Giovanni Cespa
  • Function : Author

Abstract

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.

Domains

Not file

Dates and versions

hal-00580153 , version 1 (26-03-2011)

Identifiers

  • HAL Id : hal-00580153 , version 1

Cite

Thierry Foucault, Giovanni Cespa. Insiders-Outsiders, Transparency and the Value of the Ticker. 2011. ⟨hal-00580153⟩

Collections

HEC CNRS LARA
28 View
0 Download

Share

Gmail Facebook Twitter LinkedIn More