The DOI matches its Crossref record; 20 of the 20 references it cites were found in a registry or an index.
Insiders, Outsiders, and Market Breakdowns
Abstract
A simple classical Walrasian framework is proposed for the study of manipulation among asymmetrically informed risk-averse traders in financial markets, and it is used to analyze the occurrence of a market breakdown in the trading system. Such a phenomenon occurs when the outsiders refuse to trade with the insiders because the informational motive for trade of the insider outweighs her hedging motive. We demonstrate the robustness of our results by proving that the market collapse condition extends not only to the linear strategy function, but to the whole class of feasible nonlinear strategy functions. Implications for insider-trading regulation are sketched.
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Citations
Cites
Continuous Auctions and Insider Trading
Kyle, A. S. (1985) · Econometrica · doi:10.2307/1913210 · Cited by 9,580
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
Glosten, L. R., & Milgrom, P. R. (1985) · Journal of Financial Economics · doi:10.1016/0304-405x(85)90044-3 · Cited by 6,115
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
Information, trade and common knowledge
Milgrom, P., & Stokey, N. (1982) · Journal of Economic Theory · doi:10.1016/0022-0531(82)90046-1 · Cited by 1,729
On the aggregation of information in competitive markets
Hellwig, M. F. (1980) · Journal of Economic Theory · doi:10.1016/0022-0531(80)90056-3 · Cited by 1,241
Information aggregation in a noisy rational expectations economy
Diamond, D. W., & Verrecchia, R. E. (1981) · Journal of Financial Economics · doi:10.1016/0304-405x(81)90026-x · Cited by 1,067
Informed Speculation with Imperfect Competition
Kyle, A. S. (1989) · The Review of Economic Studies · doi:10.2307/2297551 · Cited by 963
A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
Admati, A. R. (1985) · Econometrica · doi:10.2307/1911659 · Cited by 778
Wilson, R. (1979) · The Quarterly Journal of Economics · doi:10.2307/1884475 · Cited by 712
Information Acquisition in a Noisy Rational Expectations Economy
Verrecchia, R. E. (1982) · Econometrica · doi:10.2307/1913389 · Cited by 639
Cited by
Gervais, S., & Odean, T. (2001) · Review of Financial Studies · doi:10.1093/rfs/14.1.1 · Cited by 1,615
Determinants of market reactions to restatement announcements
Palmrose, Z.-V., Richardson, V. J., & Scholz, S. (2004) · Journal of Accounting and Economics · doi:10.1016/j.jacceco.2003.06.003 · Cited by 1,259
The World Price of Earnings Opacity
Bhattacharya, U., Daouk, H., & Welker, M. (2003) · The Accounting Review · doi:10.2308/accr.2003.78.3.641 · Cited by 1,201
Self-citationDynamic Volume-Return Relation of Individual Stocks
Llorente, G., Michaely, R., Saar, G., & Wang, J. (2002) · Review of Financial Studies · doi:10.1093/rfs/15.4.1005 · Cited by 689
Asset Pricing under Asymmetric Information: Bubbles, Crashes, Technical Analysis, and Herding
Brunnermeier, M. K. (2001) · doi:10.1093/0198296983.001.0001 · Cited by 406
Metadata
- Authors
- Bhattacharya, U., & Spiegel, M.
- Venue
- Review of Financial Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1991-04
- Volume
- 4
- Issue
- 2
- Pages
- 255-282
- ISSN
- 0893-9454 (ISSN-L)
- 1465-7368
- OpenAlex
- W2086872180
- Cited by
- 255
- References
- 20
- FWCI
- 11.36
- Type
- journal article
- Language
- en
- Open access
- closed
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Data sources
Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
