Chau, Minh and Vayanos, Dimitri 
ORCID: 0000-0002-0944-4914
(2008)
Strong-form efficiency with monopolistic insiders.
Review of Financial Studies, 21 (5).
pp. 2275-2306.
ISSN 0893-9454
Abstract
We study market efficiency in an infinite-horizon model with a monopolistic insider. The insider can trade with competitive market makers 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. Thus, the insider’s information is “long-lived.” Surprisingly, however, the monopolistic insider chooses to reveal her 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: | Article |
|---|---|
| Official URL: | http://rfs.oxfordjournals.org/ |
| Additional Information: | © 2006 The Authors |
| Divisions: | Finance |
| Subjects: | H Social Sciences > HG Finance |
| JEL classification: | D - Microeconomics > D8 - Information, Knowledge, and Uncertainty > D82 - Asymmetric and Private Information G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency; Event Studies |
| Date Deposited: | 30 Oct 2010 11:06 |
| Last Modified: | 12 Apr 2024 05:51 |
| URI: | http://eprints.lse.ac.uk/id/eprint/29780 |
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