Les Cahiers de Recherche - HEC Paris
Insiders-outsiders, transparency and the value of the ticker
() and Giovanni Cespa
Abstract: In this paper, the authors consider a multi-period
rational expectations model in which risk-averse investors differ in their
information on past transaction prices (the ticker). Some investors
(insiders) observe prices in real-time whereas other investors (outsiders)
observe prices with a delay.
Keywords: market data sale; latency; transparency; price discovery; Hirsh-leifer effect; (follow links to similar papers)
JEL-Codes: D46; D53; (follow links to similar papers)
40 pages, September 1, 2008
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