Insiders-outsiders, transparency and the value of the ticker

Giovanni Cespa and Thierry Foucault

No 2008/39, CFS Working Paper Series from Center for Financial Studies (CFS)

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.

Keywords: Market Data Sales; Latency; Transparency; Price Discovery; Hirshleifer Effect (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 (search for similar items in EconPapers)
Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

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Related works:
Working Paper: Insiders-Outsiders, Transparency and the Value of the Ticker (2011)
Working Paper: Insiders-Outsiders, Transparency and the Value of the Ticker (2008)
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: https://EconPapers.repec.org/RePEc:zbw:cfswop:200839

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