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Public disclosure, information leakage, and strategic trading

Author

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  • Zhou, Deqing

Abstract

Based on Huddart et al. (2001)’s model, this work shows that the insider injects less noise into the mixed strategy and exploits the information advantage faster when there is a risk of information leakage.

Suggested Citation

  • Zhou, Deqing, 2016. "Public disclosure, information leakage, and strategic trading," Economics Letters, Elsevier, vol. 147(C), pages 46-50.
    • Handle: RePEc:eee:ecolet:v:147:y:2016:i:c:p:46-50
    DOI: 10.1016/j.econlet.2016.08.007
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    References listed on IDEAS

    as
    1. Piero Gottardi & Roberto Serrano, 2005. "Market Power And Information Revelation In Dynamic Trading," Journal of the European Economic Association, MIT Press, vol. 3(6), pages 1279-1317, December.
    2. Goenka, Aditya, 2003. "Informed trading and the 'leakage' of information," Journal of Economic Theory, Elsevier, vol. 109(2), pages 360-377, April.
    3. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-1335, November.
    4. Huddart, Steven & Hughes, John S & Levine, Carolyn B, 2001. "Public Disclosure and Dissimulation of Insider Trades," Econometrica, Econometric Society, vol. 69(3), pages 665-681, May.
    5. Shapley, Lloyd S & Shubik, Martin, 1977. "Trade Using One Commodity as a Means of Payment," Journal of Political Economy, University of Chicago Press, vol. 85(5), pages 937-968, October.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. Li, Ningwei & Li, Zhihua & Liu, Hong & Yang, Qingshan, 2024. "Strategic information leakage with market supervision," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
    2. Ruan, Xinfeng & Zhang, Jin E., 2016. "Investor attention and market microstructure," Economics Letters, Elsevier, vol. 149(C), pages 125-130.

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    More about this item

    Keywords

    Strategic trading; Information leakage; Public disclosure;
    All these keywords.

    JEL classification:

    • C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
    • D82 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Asymmetric and Private Information; Mechanism Design
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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