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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국경영과학회 Management Science and Financial Engineering Management Science and Financial Engineering Vol.19 No.1
- 발행연도
- 2013.5
- 수록면
- 11 - 16 (6page)
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초록· 키워드
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This paper derives an equilibrium asset price when there exist three kinds of traders in financial market: a risk-averse informed trader, noise traders, and risk neutral market makers. This paper is an extended version of Kyle’s (1985, Econometrica) continuous time model by introducing insider’s risk aversion. We obtain not only the equilibrium asset pricing and market depth parameter but also insider’s value function and optimal insider’s trading strategy explicitly. The comparative static shows that the market depth (the reciprocal of market pressure) increases with time and volatility of noise traders’ trading.
목차
ABSTRACT
1. INTRODUCTION
2. THE FINANCIAL MARKET
3. EQUILIBRIUM
4. COMPARATIVE STATICS
5. CONCLUSIONS
REFERENCES
참고문헌 (7)
참고문헌 신청
1. [학술지(정기간행물)] - Back, K. / 1992 / Insider trading in continuous time / Review of Financial Studies 5 : 387 ~ 409
2. [학술지(정기간행물)] - Back, K. / 1998 / Long-lived information and intraday patterns / Journal of Financial Markets 1 : 385 ~ 402
3. [학술지(정기간행물)] - Baruch, S. / 2002 / Insider trading and risk aversion / Journal of Financial Markets 5 : 451 ~ 464
4. [학술지(정기간행물)] - Glosten, L. / 1989 / Insider trading, liquidity, and the role of the monopolist specialist / Journal of Business 62 : 211 ~ 235
5. [학술지(정기간행물)] - Holden, C. W. / 1994 / Risk aversion, imperfect competition and long lived information / Economic Letters 44 : 189 ~ 190
2. [학술지(정기간행물)] - Back, K. / 1998 / Long-lived information and intraday patterns / Journal of Financial Markets 1 : 385 ~ 402
3. [학술지(정기간행물)] - Baruch, S. / 2002 / Insider trading and risk aversion / Journal of Financial Markets 5 : 451 ~ 464
4. [학술지(정기간행물)] - Glosten, L. / 1989 / Insider trading, liquidity, and the role of the monopolist specialist / Journal of Business 62 : 211 ~ 235
5. [학술지(정기간행물)] - Holden, C. W. / 1994 / Risk aversion, imperfect competition and long lived information / Economic Letters 44 : 189 ~ 190
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