Insider Trading, Investment, And Liquidity : A Welfare Analysis  

Oleh:

Bhattacharya, Sudipto ; Nicodano, Giovanna

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 56 no. 3 (2001), page 1141-1156.
Topik: investment; studies; insider trading; liquidity; investment policy; models; statistical aanalysis; utility functions
Fulltext: p 1141.pdf (687.96KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Equilibrium trading outcomes are compared with and without participation by an informed insider, assuming inflexible ex ante aggregate investment choices by agents. Noise trading arises from aggregate uncertainty regarding other agents' intertemporal consumption preferences. The welfare levels of outsiders can thus be ascertained. The allocations without insider trading are not ex ante Pareto efficient, because the model differs from standard ones with negative exponential utility functions and normal returns. The circumstances under which the revelation of payoff - relevant information via prices - arising from insider trading - benefits outsiders with stochastic liquidity needs are characterized, by improving risk - sharing among them.

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