Price impact under heterogeneous beliefs and restricted participation
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DOI: 10.1016/j.jet.2023.105774
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- Michail Anthropelos & Scott Robertson, 2024. "Strategic Informed Trading and the Value of Private Information," Papers 2404.08757, arXiv.org.
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More about this item
Keywords
Thin markets; Restricted participation; Price impact; Heterogeneous beliefs; Disagreement on second moments; Welfare;All these keywords.
JEL classification:
- D43 - Microeconomics - - Market Structure, Pricing, and Design - - - Oligopoly and Other Forms of Market Imperfection
- D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C72 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory - - - Noncooperative Games
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