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Risk aversion, imperfect competition, and long-lived information

Citations

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Cited by:

  1. Diego A. Agudelo, 2007. "Do Local or Foreign traders know more in an emerging market? A possible solution of the puzzle," Documentos de Trabajo de Valor Público 11117, Universidad EAFIT.
  2. Acharya, Viral V. & Johnson, Timothy C., 2010. "More insiders, more insider trading: Evidence from private-equity buyouts," Journal of Financial Economics, Elsevier, vol. 98(3), pages 500-523, December.
  3. Medrano, Luis Angel & Vives, Xavier, 2001. "Strategic Behavior and Price Discovery," RAND Journal of Economics, The RAND Corporation, vol. 32(2), pages 221-248, Summer.
  4. Back, Kerry & Pedersen, Hal, 1998. "Long-lived information and intraday patterns," Journal of Financial Markets, Elsevier, vol. 1(3-4), pages 385-402, September.
  5. Vayanos, Dimitri & Wang, Jiang, 2012. "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics 119044, London School of Economics and Political Science, LSE Library.
  6. Chanwoo Noh & Sungsub Choi, 2009. "Strategic Trading of Informed Trader with Monopoly on Short- and Long-Lived Information," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 351-365, November.
  7. Edilio Valentini & Paolo Vitale, 2022. "A Dynamic Oligopoly with Price Stickiness and Risk-Averse Agents," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 8(3), pages 697-718, November.
  8. Fuzhou Gong & Deqing Zhou, 2010. "Insider Trading in the Market with Rational Expected Price," Papers 1012.2160, arXiv.org.
  9. Henk Berkman & Carole Comerton‐Forde, 2011. "Market microstructure: A review from down under," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 51(1), pages 50-78, March.
  10. Du, Sarina & Liu, Hong, 2015. "The overconfident trader does not always overreact to his information," Economic Modelling, Elsevier, vol. 46(C), pages 384-390.
  11. Jiao, Yawen, 2022. "Decision-based trades: An analysis of institutional investors’ information advantages," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 104-115.
  12. Jason Shachat & Anand Srinivasan, 2022. "Informational Price Cascades and Non-Aggregation of Asymmetric Information in Experimental Asset Markets," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 23(4), pages 388-407, November.
  13. Pennings, Joost M.E. & Garcia, Philip & Marsh, Julia W., 2003. "Futures Market Depth: Revealed Vs. Perceived Price Order Imbalances," 2003 Conference, April 21-22, 2003, St. Louis, Missouri 18989, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
  14. Vitale, Paolo, 2018. "Optimal monetary policy for a pessimistic central bank," Journal of Macroeconomics, Elsevier, vol. 58(C), pages 39-59.
  15. Umut c{C}etin & Albina Danilova, 2014. "Markovian Nash equilibrium in financial markets with asymmetric information and related forward-backward systems," Papers 1407.2420, arXiv.org, revised Sep 2016.
  16. Liu, Hong & Chai, Shujuan, 2020. "Risk aversion, public disclosure, and partially informed outsiders," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
  17. Weston Barger & Ryan Donnelly, 2020. "Insider Trading with Temporary Price Impact," Papers 2007.14162, arXiv.org.
  18. Daher, Wassim & Mirman, Leonard J. & Saleeby, Elias G., 2014. "Two-period model of insider trading with correlated signals," Journal of Mathematical Economics, Elsevier, vol. 52(C), pages 57-65.
  19. Zhou, Deqing, 2020. "Strategic trading with transaction cost in the long run," Finance Research Letters, Elsevier, vol. 32(C).
  20. Paolo Vitale, 2017. "Pessimistic Optimal Choice for Risk-Averse Agents: The Continuous-Time Limit," Computational Economics, Springer;Society for Computational Economics, vol. 49(1), pages 17-65, January.
  21. Gong, Aibo & Ke, Shaowei & Qiu, Yawen & Shen, Rui, 2022. "Robust pricing under strategic trading," Journal of Economic Theory, Elsevier, vol. 199(C).
  22. Huang, Hui, 2008. "Risk aversion, mandatory disclosure and the concealment of information," Economics Letters, Elsevier, vol. 99(1), pages 2-9, April.
  23. Wassim Daher & Harun Aydilek & Elias G. Saleeby, 2020. "Insider trading with different risk attitudes," Journal of Economics, Springer, vol. 131(2), pages 123-147, October.
  24. Ramdan Dridi & Laurent Germain, 2000. "Noise and Competition in Strategic Oligopoly," STICERD - Econometrics Paper Series 395, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
  25. Paolo Vitale Author-Name-First Paolo, 2013. "Pessimistic optimal choice for risk-averse agents," Working Papers CASMEF 1306, Dipartimento di Economia e Finanza, LUISS Guido Carli.
  26. Vayanos, Dimitri & Wang, Jiang, 2013. "Market Liquidity—Theory and Empirical Evidence ," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1289-1361, Elsevier.
  27. Ming-Chang Wang & Lon-Ping Zu & Chau-Jung Kuo, 2010. "Risk aversion, order strategy and price formation," Applied Economics, Taylor & Francis Journals, vol. 42(5), pages 627-640.
  28. Zhou, Deqing & Zhen, Fang, 2021. "Risk aversion, informative noise trading, and long-lived information," Economic Modelling, Elsevier, vol. 97(C), pages 247-254.
  29. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2017_1714, CEMFI.
  30. Julio A. Crego, 2017. "Does Public News Decrease Information Asymmetries? Evidence from the Weekly Petroleum Status Report," Working Papers wp2018_1714, CEMFI.
  31. Zhang, Wei David, 2004. "Risk aversion, public disclosure, and long-lived information," Economics Letters, Elsevier, vol. 85(3), pages 327-334, December.
  32. Chiu, Yen-Chen, 2020. "Macroeconomic uncertainty, information competition, and liquidity," Finance Research Letters, Elsevier, vol. 34(C).
  33. Peter Koudijs, 2013. "'Those Who Know Most': Insider Trading in 18th c. Amsterdam," NBER Working Papers 18845, National Bureau of Economic Research, Inc.
  34. Crego, Julio A., 2020. "Why does public news augment information asymmetries?," Journal of Financial Economics, Elsevier, vol. 137(1), pages 72-89.
  35. Alex Boulatov & Thomas J. George, 2013. "Hidden and Displayed Liquidity in Securities Markets with Informed Liquidity Providers," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 2096-2137.
  36. Vitale, Paolo, 2018. "Robust trading for ambiguity-averse insiders," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 113-130.
  37. Dimitri Vayanos, 2001. "Strategic Trading in a Dynamic Noisy Market," Journal of Finance, American Finance Association, vol. 56(1), pages 131-171, February.
  38. Palan, Stefan & Stöckl, Thomas, 2017. "When chasing the offender hurts the victim: The case of insider legislation," Journal of Financial Markets, Elsevier, vol. 35(C), pages 104-129.
  39. Gong, Fuzhou & Liu, Hong, 2016. "Asymmetric information, heterogeneous prior beliefs, and public information," International Review of Economics & Finance, Elsevier, vol. 46(C), pages 100-120.
  40. Sastry, Ravi & Thompson, Rex, 2019. "Strategic trading with risk aversion and information flow," Journal of Financial Markets, Elsevier, vol. 44(C), pages 1-16.
  41. Jegadeesh, Narasimhan & Wu, Yanbin, 2022. "Closing auctions: Nasdaq versus NYSE," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1120-1139.
  42. Dridi, Ramdan & Germain, Laurent, 2000. "Noise and competition in strategic oligopoly," LSE Research Online Documents on Economics 6862, London School of Economics and Political Science, LSE Library.
  43. Sadzik, Tomasz & Woolnough, Chris, 2021. "Snowballing private information," Journal of Economic Theory, Elsevier, vol. 198(C).
  44. Vitale, Paolo, 2012. "Risk-averse insider trading in multi-asset sequential auction markets," Economics Letters, Elsevier, vol. 117(3), pages 673-675.
  45. Hoang, Lai T. & Wee, Marvin & Yang, Joey Wenling, 2023. "Strategic trading by insiders in the presence of institutional investors," Journal of Financial Markets, Elsevier, vol. 64(C).
  46. Jiang, Ying & Liu, Hong, 2022. "Insider trading, overconfidence, and private information flow," The North American Journal of Economics and Finance, Elsevier, vol. 60(C).
  47. Baruch, Shmuel, 2002. "Insider trading and risk aversion," Journal of Financial Markets, Elsevier, vol. 5(4), pages 451-464, October.
  48. Umut c{C}et{i}n, 2018. "Mathematics of Market Microstructure under Asymmetric Information," Papers 1809.03885, arXiv.org.
  49. Han-Ching Huang & Yong-Chern Su & Yao-Hsuan Chang, 2014. "Dynamic Return-Order Imbalance Relationship Response To Leveraged Buyout Announcements," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 8(2), pages 55-63.
  50. Roland Kirstein, 2009. "Risk-Neutral Monopolists are Variance-Averse," FEMM Working Papers 09012, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
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