English, Article, Journal or magazine article edition: Insiders-outsiders, transparency and the value of the ticker Foucault, Thierry; Cespa, Giovanni

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Bookmark: http://trove.nla.gov.au/version/22824
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Insiders-outsiders, transparency and the value of the ticker
Author
  • Foucault, Thierry
  • Cespa, Giovanni
Physical Description
  • preprint
Notes
  • 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.
  • Hirshleifer effect; Market data sales; Price discovery; Transparency
  • RePEc:cpr:ceprdp:6794
  • In this paper, the authors 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.
  • market data sale; latency; transparency; price discovery; Hirsh-leifer effect
  • RePEc:ebg:heccah:0892
Language
  • English
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