Continuous auctions and insider trading

Kyle, A. S. (1985). Continuous auctions and insider trading. Econometrica, 53(6), 1315-1335.

Type

Journal article

Intellectual base

Primary research

Year

1985

Volume

53

Issue

6

Pages

1315-1335

DOI registrant

registered by a platform that did not publish the work; the publisher is not recorded

Link

https://doi.org/10.2307/1913210matched

Cited from

economics_finance

Cited by

1 citation across 1 artifact.

Each citation links to the sentence it supports in the citing article.

Primes

• Liquidity
  • The microstructure literature operationalizes these dimensions: Kyle (1985) derived market depth and the now-standard Kyle's lambda (price impact per unit of order flow) within an equilibrium model of informed trading, while Amihud and Mendelson (1986) demonstrated empirically that bid-ask spreads carry an asset-pricing premium, formalizing the link between transaction-cost dimensions and required returns.

    This sourceEquilibrium model of informed trading that derives market depth and the price-impact coefficient now known as Kyle's lambda. Amihud, Y., & Mendelson, H. (1986). Asset pricing and the bid-ask spread. Journal of Financial Economics, 17(2), 223–249. Empirical demonstration that bid-ask spreads carry an asset-pricing premium, formalizing the link between transaction-cost dimensions and required returns.

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