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Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - Center for Financial Studies - 2008
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...
Persistent link: https://www.econbiz.de/10010958522
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News Trading and Speed
Foucault, Thierry; Hombert, Johan; Rosu, Ioanid - HEC Paris (École des Hautes Études Commerciales) - 2013
short run price changes. Moreover, in this case, an increase in news informativeness increases liquidity, volume, and the …
Persistent link: https://www.econbiz.de/10010832933
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Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - 2008
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...
Persistent link: https://www.econbiz.de/10010303742
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Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - 2008
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...
Persistent link: https://www.econbiz.de/10010280788
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Insiders-outsiders, transparency and the value of the ticker
Foucault, Thierry; Cespa, Giovanni - HEC Paris (École des Hautes Études Commerciales) - 2008
In this paper, the authors 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.
Persistent link: https://www.econbiz.de/10005011529
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Insiders-Outsiders, Transparency and the Value of the Ticker
Cespa, Giovanni; Foucault, Thierry - C.E.P.R. Discussion Papers - 2008
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...
Persistent link: https://www.econbiz.de/10005791285
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Insiders-Outsiders, Transparency and the Value of the Ticker
Cespa, Giovanni; Foucault, Thierry - School of Economics and Finance, Queen Mary - 2008
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...
Persistent link: https://www.econbiz.de/10005106393
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Sale of price information by exchanges : does it promote price discovery?
Cespa, Giovanni; Foucault, Thierry - In: Management science : journal of the Institute for … 60 (2014) 1, pp. 148-165
Persistent link: https://www.econbiz.de/10010345160
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Toxic Arbitrage
Foucault, Thierry; Kozhan, Roman - HEC Paris (École des Hautes Études Commerciales) - 2014
another related asset due to information arrival. These opportunities are toxic because they expose liquidity suppliers to the …' response to these opportunities impair liquidity. The authors find support for these predictions using high frequency …
Persistent link: https://www.econbiz.de/10011147709
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Trading Fees and Efficiency in Limit Order Markets
Colliard, Jean-Edouard; Foucault, Thierry - C.E.P.R. Discussion Papers - 2011
and takers on various measures of market liquidity. …
Persistent link: https://www.econbiz.de/10009024490