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http://hdl.handle.net/10419/55209
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| Title: | | Insiders-outsiders, transparency and the value of the ticker  |
| Authors: | | Cespa, Giovanni Foucault, Thierry |
| Issue Date: | | 2008 |
| Series/Report no.: | | Working Paper // School of Economics and Finance, Queen Mary, University of London 628 |
| 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. |
| Subjects: | | market data sales latency transparency price discovery Hirshleifer effect |
| JEL: | | G10 G12 G14 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Working Paper Series, School of Economics and Finance, Queen Mary, University of London
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