Information in Cournot: Signaling with Incomplete Control

We embed signaling in the classical Cournot model in which several firms sell a homogeneous good. The quality is known to all the firms, but only to some buyers. The quantity-setting firms can manipulate the price to signal quality. Because there is only one price in a market for a homogeneous good, each firm incompletely controls the price-signal through the quantity decision. We characterize the unique signaling Cournot equilibrium in which the price signals quality to the uninformed buyers. We then compare the signaling Cournot equilibrium with the full-information Cournot equilibrium. Signaling is shown to increase the equilibrium price. Moreover, under certain conditions regarding the composition of buyers, the number of firms, and the distribution of costs across firms, the effects of signalling and market externality cancel each other. In other words, the profits under signaling Cournot equal the profits of a cartel in a full-information environment.Cournot, Homogeneous good, Learning, Quality, Signaling.

Insider Trading in a Two-Tier real market structure model

URL des Documents de travail : https://centredeconomiesorbonne.cnrs.fr/publications/Voir aussi l'article basé sur ce document de travail paru dans "The Quarterly Review of Economics and Finance", Elsevier, 53, (1), 2013, pp. 44-52Documents de travail du Centre d'Economie de la Sorbonne 2011.68 - ISSN : 1955-611XIn this paper, we study the real and financial effects of insider trading in the spirit of Jain and Mirman (1999). Unlike the previous works that address this issue, we suppose that the production of the real good is costly and depends mainly of the price of an intermediate good produced locally by a privately-owned firm. We show that the real output of the final good chosen by the insider as well as the price of the intermediate good set by the privately-owned firm are both greater than it would be in the absence of insider trading. Furthermore, the parameters of both real markets affect the stock price and the stock pricing rule. Besides, when compared to Jain and Mirman (2000) and (2002), this two-tier real market structure does not alter the amount of information disseminated in the stock price or the level of insider trading. Next, we add a second insider to the model. We show that competition in the financial sector decreases the level of output produced by firm 1 and the price of the intermediate good with respect to initial model. Moreover, it affects the insiders' trades and increases the amount of information revealed in the stock price.Dans ce papier, nous étudions les effets réels et financiers des marchés d'initiés dans l'esprit de Jain et Mirman (1999). Contrairement aux travaux qui abordent cette question, nous supposons que le bien réel est produit avec un coût total qui dépend principalement du prix d'un autre bien intermédiaire produit localement par une firme privée. Nous montrons que le montant du bien final choisi par l'initié ainsi que le prix du bien intermédiaire choisi par la firme privée sont à la fois supérieurs à ce qu'ils seraient en l'absence des initiés. Par ailleurs, les paramètres des deux marchés réels sont affectés par le marché financier. En outre, par rapport à Jain et Mirman (2000) et (2002), cette structure du marché réel ne modifie pas la quantité d'informations diffusée dans le cours des actions ainsi que l'ordre de l'initié. Ensuite, nous ajoutons un second initié au modèle. Nous montrons que la concurrence dans le marché financier diminue le niveau du bien final produit par la firme publique et le prix du bien intermédiaire par rapport au modèle initial. Par ailleurs, il affecte le niveau d'ordre de l'initié et augmente la quantité d'informations révélée dans le prix des actions

Insider Trading in a Two-Tier real market structure model

In this paper, we study the real and financial effects of insider trading in the spirit of Jain and Mirman (1999). Unlike the previous works that address this issue, we suppose that the production of the real good is costly and depends mainly of the price of an intermediate good produced locally by a privately-owned firm. We show that the real output of the final good chosen by the insider as well as the price of the intermediate good set by the privately-owned firm are both greater than it would be in the absence of insider trading. Furthermore, the parameters of both real markets affect the stock price and the stock pricing rule. Besides, when compared to Jain and Mirman (2000) and (2002), this two-tier real market structure does not alter the amount of information disseminated in the stock price or the level of insider trading. Next, we add a second insider to the model. We show that competition in the financial sector decreases the level of output produced by firm 1 and the price of the intermediate good with respect to initial model. Moreover, it affects the insiders' trades and increases the amount of information revealed in the stock price.Insider trading, Two-Tier market, Stackelberg, correlated signals, Kyle model.

Asset market equilibrium with short-selling and differential information

We introduce differential information in the asset market model studied by Cheng (1991), Dana and Le Van (1996) and Le Van and Truong Xuan (2001). An equilibrium existence result is proven assuming that the economy's information structure satisfies the conditional independency property.Asset market, differential information, competitive equilibrium

Insider Trading with Different Market Structures

URL des Documents de travail : https://centredeconomiesorbonne.cnrs.fr/publications/Voir aussi l'article basé sur ce document de travail paru dans "International Review of Economics & Finance", Elsevier, 24, 2012, pp. 143-154Documents de travail du Centre d'Economie de la Sorbonne 2011.56 - ISSN : 1955-611XWe study an extension of Jain and Mirman (1999) with two insiders under three different market structures : (i) Cournot competition among the insiders, (ii) Stackelberg game between the insiders and (iii) monopoly in the real market and Stackelberg in the financial market. We show how the equilibrium outcomes are affected by each of the market structure. Finally we perform a comparative statics analysis between the models.On étudie une extension du modèle de Jain-Mirman (1999) avec deux initiés dans trois structures de marché différentes : (i) concurrence à la Cournot entre les initiés, (ii) concurrence à la Stackelberg entre les initiés et (iii) structure de monopole dans le marché des biens et concurrence à la Stackelberg sur le marché financier. On montre que les variables d'équilibre sont tous influencés par la structure de marché sous-jacente. Finalement, on présente une statique comparative entre les modèles étudiés

Insider Trading With Different Risk Attitudes

This paper investigates the effect of different risk attitudes on the financial decisions of two insiders trading in the stock market. We consider a static version of the Kyle (1985) model with two insiders. Insider 1 is risk neutral while insider 2 is risk averse with negative exponential utility. First, we prove the existence of a unique linear equilibrium. Second, we obtain somewhat surprising results on how the risk attitudes affect the market liquidity, the price efficiency, when we carry out a comparative static analysis with respect to Tighe (1989) and Holden and Subrahmanyam(1994) models

Insider Trading With Different Risk Attitudes

This paper investigates the effect of different risk attitudes on the financial decisions of two insiders trading in the stock market. We consider a static version of the Kyle (1985) model with two insiders. Insider 1 is risk neutral while insider 2 is risk averse with negative exponential utility. First, we prove the existence of a unique linear equilibrium. Second, we obtain somewhat surprising results on how the risk attitudes affect the market liquidity, the price efficiency, when we carry out a comparative static analysis with respect to Tighe (1989) and Holden and Subrahmanyam(1994) models

Insider Trading With Product Differentiation

URL des Documents de travail : https://centredeconomiesorbonne.cnrs.fr/publications/Voir aussi l'article basé sur ce document de travail paru dans "Journal of Economics", 111, 2014, pp. 173-201Documents de travail du Centre d'Economie de la Sorbonne 2012.14 - ISSN : 1955-611XIn this paper, we analyze the effect of Cournot competition with differentiated products on the real and financial decisions of a publicly-owned firm, with three different structures in the financial market : monopoly, duopoly and Stackelberg. We shows that the degree of product differentiation does not affect the results found in the literature on insider trading, concerning the effect of the financial market structure on firms' outputs, the revelation of information and the insiders' orders. Besides, firms' output, the amount of information revealed in the stock price, the insiders' trading orders and the owners' profits are independent of the degree of product differentiation. The real market structure through the degree of product differentiation is found to determine the level of the compensation scheme earned by the manager, the market makers' response to the total order flow signal as well as the managers' profits.Ce papier analyse l'effet de la concurrence à la Cournot avec différentiation de produits, sur les décisions financières et réelles d'une entreprise publique, sous trois structures du marché financier : monopole, duopole et concurrence à la Stackelberg. Les résultats montrent que l'effet de la structure du marché financier sur les quantités produites par les firmes, la révélation d'information, les actions des initiés ainsi que les profits des propriétaires de la firme, est invariant avec différentiation de produits. En revanche, cette structure a un effet direct sur la compensation du manager, ses profits et sur un des coefficients du prix du marché financier

A Single System Universe: A Cognitive Approach

Discovering the Universe requires upgrading the means that man is utilizing for this endeavor. The power of cognitive thought has long been neglected in favor of mathematical formulas. The only tool that can roam the Univers

Insider Trading With Different Risk Attitudes

This paper investigates the effect of different risk attitudes on the financial decisions of two insiders trading in the stock market. We consider a static version of the Kyle (1985) model with two insiders. Insider 1 is risk neutral while insider 2 is risk averse with negative exponential utility. First, we prove the existence of a unique linear equilibrium. Second, we obtain somewhat surprising results on how the risk attitudes affect the market liquidity, the price efficiency, when we carry out a comparative static analysis with respect to Tighe (1989) and Holden and Subrahmanyam(1994) models