Market Equilibrium with Insider Trading and Bid-Ask Prices

Guillaume Lasserre
Additional contact information
Guillaume Lasserre: Crest

No 2003-14, Working Papers from Center for Research in Economics and Statistics

Abstract: Abstract. Many articles deal with the problem of asymmetric information onfinancial markets. Kyle (1985) studied the case of a strategic agent who knowsthe law of the prices at the end of a period. He shows the existence of anequilibrium composed by an optimal strategy for the agent and a efficient pricingrule. Glosten and Milgrom (1985) pointed out the rule played by the asymmetricinformation in the formation of the bid ask spread. The object of the paper is toexhibit an equilibrium in a one period model when the insider is strategic andwhere we study the effect of asymmetric information on the bid ask spread.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://crest.science/RePEc/wpstorage/2003-14.pdf Crest working paper version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crs:wpaper:2003-14

Access Statistics for this paper

More papers in Working Papers from Center for Research in Economics and Statistics Contact information at EDIRC.
Bibliographic data for series maintained by Secretariat General () and Murielle Jules Maintainer-Email : murielle.jules@ensae.Fr.