Abstract
We assume that the aim of informed institutions is to maximize the joint profits of multiple investing sessions. The model shows that when the aggregate informed trades are relatively large, institutions would reach agreement in private, delaying the use of the information. Such delaying action is quite different from prior studies adopting rational expectations models, which mainly infer that institutions obtain and use information immediately, and the action can explain some market anomalies.
| Original language | English |
|---|---|
| Pages (from-to) | 39-91 |
| Number of pages | 53 |
| Journal | 財務金融學刊 |
| Volume | 26 |
| Issue number | 2 |
| DOIs | |
| Publication status | Published - 2018 |
Keywords
- Informed trading
- institutions
- multiple transactions
- market anomalies
- 資訊交易
- 機構法人
- 多期交易
- 市場異象