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Price discovery and gains from trade in asset markets with insider trading

Brünner, Tobias; Levínský, René - 2020

novel call auction model with insider information. Our model predicts that more insider information improves informational … of insider information the call auction performs worse than continuous double auction. Testing these hypotheses in the … lab we find that insider information increases informational efficiency of call auction prices but does not decrease the …

Persistent link: https://www.econbiz.de/10012437539

Price Discovery Using a Double Auction

Satterthwaite, Mark Allen - 2020

We devise a tractable model to study the buyer's bid double auction (BBDA) that allows correlated signals and …

Persistent link: https://www.econbiz.de/10012856625

Information Percolation and Informed Short Selling : Evidence from Earnings Announcements

Christophe, Stephen E. - 2020

This study examines short selling in stocks of firms that reveal partial earnings-related information prior to their eventual earnings announcements (EA). By decomposing short selling into two components where the first corresponds to the final partial earnings disclosure and the second captures...

Persistent link: https://www.econbiz.de/10012835496

Dual sourcing with price discovery

Alcalde, José; Dahm, Matthias - 2016

reverse auction. Shares are allocated endogenously, depending on the suppliers ́bids. The procedure obtains dual sourcing by … than a standard auction for sole sourcing. We also show that providers reveal their costs truthfully and that the …

Persistent link: https://www.econbiz.de/10011448760

Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets

Shachat, Jason M. - 2011

We report on experimental markets for a contingent claim asset that eight subjects traded for nine periods before the state was revealed. There is an informative binary signal that arrives after each of the first eight trading rounds. In our baseline treatment the realization of the signal is...

Persistent link: https://www.econbiz.de/10013126895

Price discovery and gains from trade in asset markets with insider trading

Brünner, Tobias; Levínský, René - In: The European journal of finance 29 (2023) 3, pp. 255-277

Persistent link: https://www.econbiz.de/10014322519

Informational correlation and selective disclosure

Gong, Qiang; Shuai, Jie; Yang, Huanxing - In: Economic theory 76 (2023) 2, pp. 645-683

Persistent link: https://www.econbiz.de/10014330781

Information spillover in Chinese hybrid IPO auctions

Hoque, Hafiz; Mu, Shaolong - In: Journal of international money and finance 131 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014248803

Do I Really Want to Hear the News? Public Information Arrival and Investor Beliefs

Ben-Rephael, Azi - 2020

We provide new empirical evidence on the implications of public information arrival for investors' beliefs, using a daily measure of dispersion (uncertainty) of beliefs about firm underlying return distribution. Consistent with convergence in beliefs (less disagreement), the arrival of public...

Persistent link: https://www.econbiz.de/10012830605

Learning and Price Discovery in a Search Model

Lauermann, Stephan - 2018

We develop a dynamic matching and bargaining game with aggregate uncertainty about the relative scarcity of a commodity. We use our model to study price discovery in a decentralized exchange economy: Traders gradually learn about the state of the market through a sequence of multilateral...

Persistent link: https://www.econbiz.de/10012940513