Insider Trading with Uncertain Date of Publication
OR Spektrum, Vol. 21, Issue 1-2, 1999
Posted: 9 Mar 1999
Abstract
This paper focuses on insider trading and its effect on market liquidity and information efficiency. The insider follows an intertemporal trading strategy. We start with the model of Kyle 1985. This model is extended to the case that the date at which insider information becomes public is uncertain. The analysis yields plausible results: When the probability of an earlier publication date increases, the insider trades more and the price reflects more information. Interestingly enough, the market liquidity decreases.
JEL Classification: G12, G14
Suggested Citation: Suggested Citation
Hirth, Hans, Insider Trading with Uncertain Date of Publication. OR Spektrum, Vol. 21, Issue 1-2, 1999, Available at SSRN: https://ssrn.com/abstract=150690
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.