外部人无私有信息下的理性信息泄露
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摘要
建立一种内部交易者可以与做市商或其他交易者等外部人共同分享部分风险资产信息的内部交易模型;证明了由有效定价规则和最优交易策略组成的线性Bayesian-Nash均衡的存在性。结果表明,如果外部人没有各自的私人信息,那么内部交易者的理性信息策略是不向外部人泄漏自己的任何私有信息。
In this paper,we study an insider trading model in which the insider possesses private information and shares some common signals of the underline risky asset with trading outsiders and market makers respectively,and establish the uniqueness and existence of a linear Bayesian-Nash equilibrium,consisting of effective pricing rule and optimal trading strategies. It shows that for a rational insider it is no need to leak any information to the outsiders without private information.
In this paper,we study an insider trading model in which the insider possesses private information and shares some common signals of the underline risky asset with trading outsiders and market makers respectively,and establish the uniqueness and existence of a linear Bayesian-Nash equilibrium,consisting of effective pricing rule and optimal trading strategies. It shows that for a rational insider it is no need to leak any information to the outsiders without private information.
引文
[1]KYLE A S. Continuous auctions and insider trading[J].Econometrica,1985,53:1315-1335.
[2]JAIN N,MIRMAN L J. Insider trading with correlated signals[J]. Economics Letters,1999,65:105-443.
[3]LUO S. The impact of public information on insider trading[J]. Economics Letters,2001,70(1):59-68.
[4]ZHOU D Q. Overconfidence on public information[J]. Economics Letters,2011,112:239-242.
[5] ZHOU D Q. Overconfidence,public disclosure and longlived information[J]. Economics Letters,2012,116:626-630.
[6]ZHOU D Q. The virtue of overconfidence when you are not perfectly informed[J]. Economic Modelling,2015,47:105-110.
[7]肖凯,周永辉.不完全噪声交易信息下的内部交易[J].贵州师范大学学报(自然科学版)2013,31(5):56-60.
[8]肖凯,周永辉.不完全信号时内部交易[J].重庆工商大学学报,2014,31(2):50-55.
[9]余铁青,周永辉.在不完全噪声信息定价下的两类风险偏好内部交易[J].贵州师范大学学报(自然科学版),2015,33(1):82-87.
[10]杨华昀,周永辉.新进者内部交易博弈的线性Bayesian-Stackelberg均衡[J].贵州师范大学学报(自然科学版),2018,36(1):72-76.
[11]徐慧,周永辉.在不完全信息下的内部交易行为分析[J].贵州师范大学学报(自然科学版),2014,32(2):52-56.
[12]BUSHMAN R,INDJEJIKIAN R. Voluntary disclosures and the trading behavior of corporate insiders[J]. J Accounting Res,1995,33(2):293-316.
[13]GREGOIRE P,HUANG H. Information disclosure with leakages[J]. Economic Modelling,2012,29(5):2005-2010.
[14]INDJEJIKIAN R,LU H,YANG L. Rational information leakage[J]. Management Science,2014,60(11):2762-2775.
[2]JAIN N,MIRMAN L J. Insider trading with correlated signals[J]. Economics Letters,1999,65:105-443.
[3]LUO S. The impact of public information on insider trading[J]. Economics Letters,2001,70(1):59-68.
[4]ZHOU D Q. Overconfidence on public information[J]. Economics Letters,2011,112:239-242.
[5] ZHOU D Q. Overconfidence,public disclosure and longlived information[J]. Economics Letters,2012,116:626-630.
[6]ZHOU D Q. The virtue of overconfidence when you are not perfectly informed[J]. Economic Modelling,2015,47:105-110.
[7]肖凯,周永辉.不完全噪声交易信息下的内部交易[J].贵州师范大学学报(自然科学版)2013,31(5):56-60.
[8]肖凯,周永辉.不完全信号时内部交易[J].重庆工商大学学报,2014,31(2):50-55.
[9]余铁青,周永辉.在不完全噪声信息定价下的两类风险偏好内部交易[J].贵州师范大学学报(自然科学版),2015,33(1):82-87.
[10]杨华昀,周永辉.新进者内部交易博弈的线性Bayesian-Stackelberg均衡[J].贵州师范大学学报(自然科学版),2018,36(1):72-76.
[11]徐慧,周永辉.在不完全信息下的内部交易行为分析[J].贵州师范大学学报(自然科学版),2014,32(2):52-56.
[12]BUSHMAN R,INDJEJIKIAN R. Voluntary disclosures and the trading behavior of corporate insiders[J]. J Accounting Res,1995,33(2):293-316.
[13]GREGOIRE P,HUANG H. Information disclosure with leakages[J]. Economic Modelling,2012,29(5):2005-2010.
[14]INDJEJIKIAN R,LU H,YANG L. Rational information leakage[J]. Management Science,2014,60(11):2762-2775.