資訊交易時機：機構投資者的競合關係

This project develops a model to investigate the ways in which informed traders select the timing of their use of private information prior to earnings announcements. The study shows that, for any period in our model, all informed traders would choose to either compete or cooperate with each other in their use of common information. These (choosing) activities lead to only two corner equilibrium which can be solved in closed form. When the number of aggregate informed trades is small, all informed traders will choose to use their homogeneous information competitively (to constitute one of the two corner equilibrium); conversely, when the number of aggregate informed trades is sufficiently large, such that these trades have a significant impact on market prices, all informed traders would choose to postpone their use of such information in a cooperative way (to form the alternative corner equilibrium). The study also shows that stock prices tend to exhibit high volatility and positive serial correlation when their use of private information is delayed, a finding which helps to explain why small-sized stocks, or those which attract very little attention of analysts, exhibit strong price continuation. At last, this study discusses the implementation of endogenous variable.