Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/55209
Authors: 
Cespa, Giovanni
Foucault, Thierry
Year of Publication: 
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

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