@techreport{Cespa2008Insiders,
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.},
address = {London},
author = {Giovanni Cespa and Thierry Foucault},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G10; G12; G14; 330; market data sales; latency; transparency; price discovery; Hirshleifer effect; Kapitalanlage; Transaktionskosten; Information; Insiderhandel; Wohlfahrtseffekt; Rationale Erwartung; Theorie},
language = {eng},
number = {628},
publisher = {Queen Mary, Univ. of London, School of Economics and Finance},
title = {Insiders-outsiders, transparency and the value of the ticker},
type = {Working Paper // School of Economics and Finance, Queen Mary, University of London},
url = {http://hdl.handle.net/10419/55209},
year = {2008}
}
