Conference Agenda
Overview and details of the sessions of this conference. Please select a date or location to show only sessions at that day or location. Please select a single session for detailed view (with abstracts and downloads if available).
Please note that all times are shown in the time zone of the conference. The current conference time is: 24th Apr 2026, 04:26:02am EDT
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Agenda Overview |
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Track TH7-2: Liquidity and Price Informativeness
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Kyle Meets Friedman: Informed Trading When Anticipating Future Information 1DePaul University; 2University of Toronto; 3Central University of Finance and Economics We analyze a model of a monopolistic informed investor who receives private information sequentially and faces a post-trading disclosure requirement. We show that this trading model can be transformed into a fictitious consumption-saving model with a borrowing constraint. Hence, insights from the consumption-saving literature can be adapted for the trading model. For example, analogous to the insights from the permanent income hypothesis, the informed investor “saves” more of his current information when expecting less future information advantage (“saving for rainy days”) or more uncertainty about it (“precautionary saving”) and smooths his information “usage” over time (“consumption smoothing”).
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