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.
2002
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-P/09 - FINANZA AZIENDALE
English
Insider trading; Liquidity trading
Baruch, S.n. (2002). Insider trading and risk aversion. JOURNAL OF FINANCIAL MARKETS, 5(4), 451-464 [10.1016/S1386-4181(01)00031-3].
Baruch, Sn
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/313779
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