Show simple item record

Insider Trading with Penalties

hal.structure.identifierInstitut de Recherche pour le Développement (IRD)
hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorCarré, Sylvain
hal.structure.identifierSwiss Finance Institute [Lausanne]
dc.contributor.authorCollin-Dufresne, P.
hal.structure.identifierDépartement de Mathématiques - EPFL
dc.contributor.authorGabriel, Franck
HAL ID: 2004
dc.date.accessioned2022-06-07T13:10:13Z
dc.date.available2022-06-07T13:10:13Z
dc.date.issued2022-07
dc.identifier.issn0022-0531
dc.identifier.urihttps://basepub.dauphine.psl.eu/handle/123456789/22980
dc.language.isoenen
dc.subjectKyle modelen
dc.subjectNon-linear equilibriaen
dc.subjectMarket microstructureen
dc.subjectInsider tradingen
dc.subjectMarket regulationen
dc.subjectEfficient penaltiesen
dc.subject.ddc332en
dc.subject.classificationjelC72en
dc.subject.classificationjelG14en
dc.titleInsider Trading with Penaltiesen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider a Kyle (1985) one-period model where insider trading may be subject to a penalty that is increasing in trade size. We characterize the solution - the equilibrium price and optimal trading strategy - explicitly and establish existence and uniqueness for an arbitrary penalty function for the case of uniformly distributed noise. We use this framework to capture the difference between legal and illegal insider trading, and identify the set of ‘efficient penalty functions’ that would be optimal for a regulator that seeks to minimize expected uninformed traders' losses for a given level of price informativeness. Simple policies consisting of a fixed penalty upon nonzero trades belong to this set and can be used to implement any efficient outcome. Using numerical analysis, we show the robustness of our results to different distributional assumptions.en
dc.relation.isversionofjnlnameJournal of Economic Theory
dc.relation.isversionofjnlvol203en
dc.relation.isversionofjnldate2022-07
dc.relation.isversionofjnlpages1-36en
dc.relation.isversionofdoi10.1016/j.jet.2022.105461en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen
dc.relation.forthcomingnonen
dc.description.ssrncandidatenon
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2022-06-07T10:05:36Z
hal.identifierhal-03689743
hal.version1
dc.subject.classificationjelHALC.C7.C72en
dc.subject.classificationjelHALG.G1.G14en
hal.date.transferred2022-06-07T13:10:14Z
hal.author.functionaut
hal.author.functionaut
hal.author.functionaut


Files in this item

FilesSizeFormatView

There are no files associated with this item.

This item appears in the following Collection(s)

Show simple item record