Imperfect Competition among Informed Traders

By Kerry Back, Charles Cao, G. Willard. 2000

338 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/00ce29fbbe9987caa2c18bf9af97ec785be188da

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Citations in the corpus

Institutional Investment Horizon and Investment-Cash Flow Sensitivity (2012, background): “…horizon, we build on a growing literature that captures institutional monitoring incentives by the number of institutional investors, as this measure may reveal more relevant (and more prompt) firm information than institutional shareholdings (Foster and Viswanathan, 1996; Back et al., 2000).”
Informed and Strategic Order Flow in the Bond Markets (2006, neutral): “(7) and the corresponding classification of announcement days implicitly assume that all U.”
Imperfect Competition, Information Heterogeneity, and Financial Contagion (2007, neutral): “Uk = γU (NAV1k) + (1− γ)U (NAV2k) , (4)”
Corporate Social Responsibility and Credit Ratings (2013, background): “…and CSR activities.9 In model 1, we control for the number of institutional investors holding a firm’s shares (NIO), as Foster and Viswanathan (1996) and Back et al. (2000) argue that information about a firm is revealed on a more timely basis when the number of institutional investors is large.”
Do Portfolio Distortions Reflect Superior Information or Psychological Biases? (2013, neutral): “For example, if investors have correlated information signals, competitive forces would induce them to trade aggressively (e.g., Holden and Subrahmanyam (1992), Back, Cao, and Willard (2000)).”
Mean field games (2007, background): “Kyle [15] (see also [3, 4 ,2,12,11, 22] . ..) , one can show using stochastic control theory (and an extension of it that we developed in [16] because of this problem) that the volatility of the asset is modified by the gamma of the option (i.e., the second derivative of the option price).”
Informed Traders and Limit Order Markets (2008, positive): “Using this estimate ˆv, the action set for each trader is defined as in equation ( 4 )”
Information linkages and correlated trading (2007, positive): “…which we use to calibrate the model parameters; in Section 3.2, we look at the model predictions about correlated trading and volume among traders; in Section 3.3, we analyze how information linkages a ect the dynamics of volume, liquidity, market e ciency and pro ts arising from informed trading.”
Are Institutions Informed About News (2015, background): “This could be because informed traders, possibly institutions, trade more aggressively over time, as in Kyle (1985) and Back, Cao, and Willard (2000), or because traders become more informed about the news as the announcement day approaches.”
More Insiders, More Insider Trading: Evidence from Private Equity Buyouts (2010, neutral): “2 Holden and Subrahmanyam (1992) and Back, Cao, and Willard (2000) show this in the case of homoge-”
Information in Securities Markets: Kyle Meets Glosten and Milgrom (2004, methodology): “The analyses of Foster and Viswanathan (1996) and Back, Cao and Willard (2000) of competition”