RISK-AVERSION, IMPERFECT COMPETITION, AND LONG-LIVED INFORMATION

被引：48

作者：

HOLDEN, CW

SUBRAHMANYAM, A

机构：

[1] COLUMBIA UNIV,COLUMBIA BUSINESS SCH,421 URIS HALL,NEW YORK,NY 10027

[2] INDIANA UNIV,BLOOMINGTON,IN 47405

来源：

ECONOMICS LETTERS | 1994年 / 44卷 / 1-2期

关键词：

D O I：

10.1016/0165-1765(93)00288-Y

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper presents a methodology for characterizing the optimal dynamic behavior of risk-averse, strategic agents with private information, by building on Kyle (Econometrica, 1985, 53, 1315-1335). It is shown that both monopolistic and competing informed traders choose to exploit rents rapidly, causing market depth to be low in the initial periods and high in later periods, and causing information to be revealed rapidly, unlike in the case of a risk-neutral monopolist considered by Kyle.

引用

页码：181 / 190

页数：10