Insider Trading with Uncertain Date of Publication

OR Spektrum, Vol. 21, Issue 1-2, 1999

Posted: 9 Mar 1999

See all articles by Hans Hirth

Hans Hirth

University of Tuebingen - Faculty of Economics and Business Administration

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

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

Hans Hirth (Contact Author)

University of Tuebingen - Faculty of Economics and Business Administration ( email )

Mohlstrasse 36
D-72074 Tuebingen, 72074
Germany

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