Cookies?
Library Header Image
LSE Research Online LSE Library Services

Strong-form efficiency with monopolistic insiders

Chau, Minh and Vayanos, Dimitri (2005) Strong-form efficiency with monopolistic insiders. CEPR, London School of Economics and Political Science, London, UK.

[img]
Preview
PDF
Download (334Kb) | Preview

Abstract

We study market efficiency in an infinite-horizon model with a monopolistic insider. The insider can trade with a competitive market maker and noise traders, and observes privately the expected growth rate of asset dividends. In the absence of the insider, this information would be reflected in prices only after a long series of dividend observations. The insider chooses, however, to reveal the information very quickly, within a time converging to zero as the market approaches continuous trading. Although the market converges to strong-form efficiency, the insider's profits do not converge to zero.

Item Type: Monograph (Working Paper)
Official URL: http://www.lse.ac.uk/collections/accountingAndFina...
Additional Information: Copyright © 2005 Minh Chau and Dimitri Vayanos. LSE has developed LSE Research Online so that users may access research output of the School. Copyright © and Moral Rights for the papers on this site are retained by the individual authors and/or other copyright owners. Users may download and/or print one copy of any article(s) in LSE Research Online to facilitate their private study or for non-commercial research. You may not engage in further distribution of the material or use it for any profit-making activities or any commercial gain. You may freely distribute the URL (http://eprints.lse.ac.uk) of the LSE Research Online website.
Library of Congress subject classification: H Social Sciences > HF Commerce
H Social Sciences > HG Finance
Sets: Departments > Accounting and Finance
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 10 Nov 2005
URL: http://eprints.lse.ac.uk/458/

Actions (login required)

Record administration - authorised staff only Record administration - authorised staff only

Downloads

Downloads per month over past year

View more statistics