TY  - UNPD
A1  - Cespa, Giovanni
A1  - Foucault, Thierry
T1  - Insiders-outsiders, transparency and the value of the ticker
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 2008,39
N2  - We 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. As prices are informative about the asset payoff, insiders get a strictly larger expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors. Thus, investors’ average welfare is maximal when access to price information is rationed. We show that a market for price information can implement the fraction of insiders that maximizes investors’ average welfare. This market features a high price to curb excessive acquisition of ticker information. We also show that informational efficiency is greater when the dissemination of ticker information is broader and more timely.
T3  - CFS working paper series - 2008, 39 
KW  - Market Data Sales
KW  - Latency
KW  - Transparency
KW  - Price Discovery
KW  - Hirshleifer Effect
Y1  - 2008
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/6181
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30-62189
ER  -