The impact of public information on insider trading

Authors
Luo, SL
Citation
Sl. Luo, The impact of public information on insider trading, ECON LETT, 70(1), 2001, pp. 59-68
Citations number
7
Categorie Soggetti
Economics
Journal title
ECONOMICS LETTERS
ISSN journal
01651765 → ACNP
Volume
70
Issue
1
Year of publication
2001
Pages
59 - 68
Database
ISI
SICI code
0165-1765(200101)70:1<59:TIOPIO>2.0.ZU;2-F
Abstract
We study the impact of public information on insider trading in the context of Kyle's speculative market. The linear Nash equilibrium is characterized analytically. We find that public information is detrimental for the insid er and beneficial for the liquidity traders. The insider puts a negative we ight on the public information in formulating his optimal strategy. The equ ilibrium price becomes more informative when there exists public informatio n. (C) 2001 Elsevier Science B.V. All rights reserved. JEL classification: C72; D43; D82.