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- W2078782145 abstract "We extend Kyle's (Kyle, 1985) analysis of sequential auction markets to the case in which a risk-averse insider possesses private information on the liquidation value of a number of risky assets. We confirm: i) in a multi-asset setting, Holden and Subrahmanyam's counter-intuitive result that risk-aversion induces informed agents to consume more rapidly their long-lived private information vis-a-vis their risk-neutral counter-parts, so that with risk-averse insiders securities markets are more efficient; ii) in a multi-period scenario, Caballe and Krishnan's result that the insider operates in such a way that the price impact of signed volume (order flow) is symmetric across all risky assets." @default.
- W2078782145 created "2016-06-24" @default.
- W2078782145 creator A5065254352 @default.
- W2078782145 date "2012-01-01" @default.
- W2078782145 modified "2023-09-26" @default.
- W2078782145 title "Risk-Averse Insider Trading in Multi-Asset Sequential Auction Markets" @default.
- W2078782145 doi "https://doi.org/10.2139/ssrn.2334124" @default.
- W2078782145 hasPublicationYear "2012" @default.
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