Public disclosure and dissimulation of insider trades

被引：129

作者：

Huddart, S ^{[1
]}

Hughes, JS ^{[1
]}

Levine, CB ^{[1
]}

机构：

[1] Penn State Univ, Smeal Coll Business Adm, University Pk, PA 16802 USA

来源：

ECONOMETRICA | 2001年 / 69卷 / 03期

关键词：

insider trading; price discovery; liquidity; securities regulation;

D O I：

10.1111/1468-0262.00209

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Regulation requiring insiders to publicly disclose their stock trades after the fact complicates the trading decisions of informed, rent-seeking insiders. Given this requirement, we present an insider's equilibrium trading strategy in a multiperiod rational expectations framework. Relative to Kyle (1985), price discovery is accelerated and insider profits are lower. The strategy balances immediate profits from informed trades against the reduction in future profits following trade disclosure and, hence, revelation of some of the insider's information. Our results offer a novel rationale for contrarian trading: dissimulation, a phenomenon distinct from manipulation, may underlie insiders' trading decisions.

引用

页码：665 / 681

页数：17

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