| Author: | Caballe, J. Krishnan, M. |
| Title: | Imperfect competition in a multi-security market with risk neutrality |
| Journal: | Econometrica
1994 : MAY, VOL. 62:3, p. 695-704 |
| Index terms: | COMPETITION STOCK MARKETS RISK |
| Language: | eng |
| Abstract: | The central purpose of this paper is to develop a model of insider trading (i.e. , trading based on private information) in the context of an imperfectly competitive multi-security market with risk-neutral agents. Imperfect competition allows the authors to consider strategic behaviour, and a multi-security market lets them study the effect of a correlated environment on equilibrium. The authors employ the informational assumption that market makers can observe all order flows, and so portfolio diversification arises in this model for strategic reasons. |
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