Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 18, 2020 erstellt
Description:
We study the interaction between the usual inside information (about asset values) and information about its existence (i.e., about the existence of insiders) in an otherwise standard continuous-time Kyle-Back model. Interestingly, only the inside information, conditional on its existence, rather than the information about its existence, is revealed in equilibrium and affects asset prices and market liquidity, and it is revealed asymptotically in the long run. Our model sheds light on the impact of stock market regulations on market liquidity and reconciles the relevant mixed empirical findings