Rational information leakage

• Main Authors: LU, Hai, INDJEJIKIAN, Raffi, YANG, Liyan
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: Information leakage; insider trading; securities regulations; Management Information Systems
• Online Access: https://ink.library.smu.edu.sg/soa_research/1604; https://ink.library.smu.edu.sg/context/soa_research/article/2631/viewcontent/SSRN_id1915649.pdf
• Institution: Singapore Management University

Empirical evidence suggests that information leakage in capital markets is common. We present a trading model to study the incentives of an informed trader (e.g., a well informed insider) to voluntarily leak information about an asset's value to one or more independent traders. Our model shows...