Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (3)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Schnitzlein, C. R.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 2002; 15:1077-1109
© 2002 the Society for Financial Studies

Price Formation and Market Quality When the Number and Presence of Insiders Is Unknown

Charles R. Schnitzlein
University of Arizona

Address correspondence to: Charles R. Schnitzlein, University of Arizona, Department of Finance, College of Business and Public Administration, McClelland Hall Rm. 315M, Tucson, AZ 85721, or e-mail: CRS1{at}u.arizona.edu or cschnitzlein{at}bpa.arizona.edu.

Abstract

In most models of market microstructure tractability requires that all market participants know the number (and presence) of competing insiders. I drop this assumption in experimental asset markets. Outcomes are qualitatively consistent with theoretical models when the number of insiders is disclosed prior to trade. When it is not, insiders use the timing and size of trades interactively to hide from the dealers and each other, dealers have difficulty identifying insider trades, and liquidity patterns do not differ as a function of the number of insiders. In general, insider behavior has strategic dimensions not admitted in Kyle (1985) and extensions.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.