Rational Information Leakage

• 成果类型: Article
• 署名作者: Indjejikian, Raffi; Lu, Hai; Yang, Liyan
• 署名单位: University of Michigan System; University of Michigan; University of Toronto
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2014.1975
• 发表日期: 2014
• 页码: 2762-2775
• 关键词: information leakage; Insider trading; securities regulations

摘要

Empirical evidence suggests that information leakage in capital markets is common. We present a trading model to study the incentives of an informed trader (e. g., a well-informed insider) to voluntarily leak information about an asset's value to one or more independent traders. Our model shows that, although leaking information dissipates the insider's information advantage about the asset's value, it enhances his information advantage about the asset's execution price relative to other informed traders. The profit impact of these two effects are countervailing. When there are a sufficient number of other informed traders, the profit impact from enhanced information dominates. Hence, the insider has incentives to leak some of his private information. We label this rational information leakage and discuss its implications for the regulation of insider trading.