A continuous auction model with insiders and random time of information release

In a unified framework we study equilibrium in the presence of an insider having information on the signal of the firm value, which is naturally connected to the fundamental price of the firm related asset. The fundamental value itself is announced at a future random (stopping) time. We consider the two cases in which this release time of information is known and not known, respectively, to the insider. Allowing for very general dynamics, we study the structure of the insider's optimal strategies in equilibrium and we discuss market efficiency. With respect to market efficiency, we show that in the case the insider knows the release time of information, the market is fully efficient. In the case the insider does not know this random time, we see that there is no full efficiency, but there is nevertheless an equilibrium where the sensitivity of prices is decreasing in time according with the probability that the announcement time is greater than the current time. In other words, the prices become more and more stable as the announcement approaches.