Existence of linear equilibria in the Kyle model with partial correlation and two risk neutral traders

We study a generalization of the static model of [11] with two risk neutral insiders to the case where each insider is partially informed about the value of the stock. First, we provide a necessary and sufficient condition for the uniqueness of the linear Bayesian equilibrium. Specifically, we show...

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Detalles Bibliográficos
Autores principales: Daher, Wassim, Saleeby, Elias G.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Elsevier 2023
Materias:
Research Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10336505/
https://www.ncbi.nlm.nih.gov/pubmed/37449171
http://dx.doi.org/10.1016/j.heliyon.2023.e17574
Descripción
Sumario:We study a generalization of the static model of [11] with two risk neutral insiders to the case where each insider is partially informed about the value of the stock. First, we provide a necessary and sufficient condition for the uniqueness of the linear Bayesian equilibrium. Specifically, we show that, when the covariance matrix of the errors terms of the insiders' signals, is not singular, the linear Bayesian equilibrium is not unique. Then, we carry out a comparative statics analysis.

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