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A continuous auction model with insiders...
Corcuera, José Manu...

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A continuous auction model with insiders and random time of information release by Corcuera, José Manuel ( Author )
Lemonjar Open Access
Australian National University
06-09-2023
In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at a future random (stopping) time. We consider two cases. First when the release time of information is known to the insider and then when it is unknown also to her. Allowing for very general dynamics, we study the structure of the insider's optimal strategies in equilibrium and we discuss market efficiency. In particular, we show that in the case the insider knows the information release time, the market is fully efficient. In the case the insider does not know this random time, we see that there is an equilibrium with no full efficiency, but where the sensitivity of prices is decreasing in time according with the probability that the announcement time is greater than the current time. In other words, the prices become more and more stable as the announcement approaches.
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Article
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29.34 KB
English
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MYR 0.01
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http://arxiv.org/abs/1411.2835
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