Add to ORKGThis paper investigates the effect of different risk attitudes on the financial decisions of two insiders trading in the stock market. We consider a static version of the Kyle (1985) model with two insiders. Insider 1 is risk neutral while insider 2 is risk averse with negative exponential utility. First, we prove the existence of a unique linear equilibrium. Second, we obtain somewhat surprising results on how the risk attitudes affect the market liquidity, the price efficiency, when we carry out a comparative static analysis with respect to Tighe (1989) and Holden and Subrahmanyam(1994) models
A mean-variance Noisy Rational Expectations Equilibrium model is extended to an economy in which tra...
This dissertation addresses various aspects of asset pricing theory in the following three contexts:...
This dissertation presents three theoretical essays on insider trading in financial markets. The fir...
This paper investigates the effect of different risk attitudes on the financial decisions of two ins...
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private i...
In this paper, a continuous-time insider trading model is investigated in which an insider is risk-s...
Abstract. In this paper we examine the real and financial effects of two insiders trading in a stati...
This paper is a continuous time version of Holden and Subrahmanyam (Economics Letters 44 ð1994Þ 181)...
This thesis presents the development and study of two stochastic models. The first one is an equilib...
In this paper we study the real and financial effects of insider trading in a Static, Kyle-type mode...
This paper derives an equilibrium asset price when there exist three kinds of traders in financial m...
URL des Cahiers : https://halshs.archives-ouvertes.fr/CAHIERS-MSECahiers de la MSE 2004.25 - Série B...
URL des Documents de travail : https://centredeconomiesorbonne.cnrs.fr/publications/Voir aussi l'art...
We extend Kyle’s (Kyle, 1985) analysis of sequential auction markets to the case in which the inside...
Within a dynamic environment, this paper introduces an inside trader to an economy where rational, b...
A mean-variance Noisy Rational Expectations Equilibrium model is extended to an economy in which tra...
This dissertation addresses various aspects of asset pricing theory in the following three contexts:...
This dissertation presents three theoretical essays on insider trading in financial markets. The fir...
This paper investigates the effect of different risk attitudes on the financial decisions of two ins...
Kyle (1985) builds a pioneering and influential model, in which an insider with long-lived private i...
In this paper, a continuous-time insider trading model is investigated in which an insider is risk-s...
Abstract. In this paper we examine the real and financial effects of two insiders trading in a stati...
This paper is a continuous time version of Holden and Subrahmanyam (Economics Letters 44 ð1994Þ 181)...
This thesis presents the development and study of two stochastic models. The first one is an equilib...
In this paper we study the real and financial effects of insider trading in a Static, Kyle-type mode...
This paper derives an equilibrium asset price when there exist three kinds of traders in financial m...
URL des Cahiers : https://halshs.archives-ouvertes.fr/CAHIERS-MSECahiers de la MSE 2004.25 - Série B...
URL des Documents de travail : https://centredeconomiesorbonne.cnrs.fr/publications/Voir aussi l'art...
We extend Kyle’s (Kyle, 1985) analysis of sequential auction markets to the case in which the inside...
Within a dynamic environment, this paper introduces an inside trader to an economy where rational, b...
A mean-variance Noisy Rational Expectations Equilibrium model is extended to an economy in which tra...
This dissertation addresses various aspects of asset pricing theory in the following three contexts:...
This dissertation presents three theoretical essays on insider trading in financial markets. The fir...