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Insiders-Outsiders, Transparency and the Value of the Ticker

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.
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Contributor : Antoine Haldemann <>
Submitted on : Saturday, March 26, 2011 - 5:13:32 PM
Last modification on : Thursday, January 11, 2018 - 6:19:32 AM


  • HAL Id : hal-00580153, version 1



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



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