Insiders-outsiders, transparency and the value of the ticker

Thierry Foucault and Giovanni Cespa ()

No 892, Les Cahiers de Recherche from HEC Paris

Abstract: In this paper, the authors 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.

Keywords: market data sale; latency; transparency; price discovery; Hirsh-leifer effect (search for similar items in EconPapers)
JEL-codes: D46 D53 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mst and nep-upt
Date: 2008-09-01
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Related works:
Working Paper: Insiders-Outsiders, Transparency and the Value of the Ticker (2008)
Working Paper: Insiders-Outsiders, Transparency and the Value of the Ticker (2008)
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Persistent link: http://EconPapers.repec.org/RePEc:ebg:heccah:0892

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