This paper is a continuous time version of Holden and Subrahmanyam (Economics Letters 44 ð1994Þ 181). The paper extends Kyle (Econometrica 53 ð1985Þ 1315) by introducing risk aversion on the side of the monopolist informed trader and allows for the liquidity traders instantaneous demand to depend on cost of trading, as well as on the risk of the stock. The main result of the paper is that, in equilibrium, the price pressure decreases with time regardless of the elasticity of the liquidity demand function. r 2002 Elsevier Science B.V. All rights reserved.
Baruch, S.n. (2002). Insider trading and risk aversion. JOURNAL OF FINANCIAL MARKETS, 5(4), 451-464 [10.1016/S1386-4181(01)00031-3].
Insider trading and risk aversion
Shmuel Nissim Baruch
2002-01-01
Abstract
This paper is a continuous time version of Holden and Subrahmanyam (Economics Letters 44 ð1994Þ 181). The paper extends Kyle (Econometrica 53 ð1985Þ 1315) by introducing risk aversion on the side of the monopolist informed trader and allows for the liquidity traders instantaneous demand to depend on cost of trading, as well as on the risk of the stock. The main result of the paper is that, in equilibrium, the price pressure decreases with time regardless of the elasticity of the liquidity demand function. r 2002 Elsevier Science B.V. All rights reserved.| File | Dimensione | Formato | |
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