The impact of public information on insider trading

被引：32
|
作者：
Luo, SL [1 ]
机构：
[1] Acad Sinica, Inst Appl Math, Beijing 100080, Peoples R China
来源：
ECONOMICS LETTERS | 2001年 / 70卷 / 01期
关键词：
insider trading; public information; private information; Nash equilibrium;
D O I：
10.1016/S0165-1765(00)00347-5
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We study the impact of public information on insider trading in the context of Kyle's speculative market. The linear Nash equilibrium is characterized analytically. We find that public information is detrimental for the insider and beneficial for the liquidity traders. The insider puts a negative weight on the public information in formulating his optimal strategy. The equilibrium price becomes more informative when there exists public information. (C) 2001 Elsevier Science B.V. All rights reserved. JEL classification: C72; D43; D82.
引用
收藏
页码：59 / 68
页数：10
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