Equilibrium Block Trading and Asymmetric Information

Duane J Seppi

Journal of Finance, 1990, vol. 45, issue 1, 73-94

Abstract: This paper investigates the existence of equilibria with information-based black trading in a multiperiod market when no investor is constrained to block trade. Attention is restricted to equilibria in which a strategic uninformed institution (i.e., one which is forced to rebalance its portfolio, but is free to choose an optimal rebalancing strategy) is willing to trade a block rather than "break up" the block into a series of smaller trades. Examples of such equilibria are found and analyzed. Copyright 1990 by American Finance Association.

Date: 1990
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