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No 892:
Insiders-outsiders, transparency and the value of the ticker

Thierry Foucault () 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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