The Efficient Market Hypothesis and Insider Trading on the Stock Market

摘要: We study the behavior of a large trader with private information about mean an asset risky return. argue that if variability return is not too great, typically will find it desirable to ensure market price does reveal his information, is, "pooling" equilibrium arises. Such has advantage avoiding incentive constraints arise in "separating" equilibria, where can be inferred from prices. Thus efficient hypothesis may well fail there imperfect competition. Despite uniformativeness prices, other (competitive) traders are also better off pooling than any separating equilibrium, again one assumes limited variability.