文档介绍：patible Contracts for the Sale of
Information
Bruno Biais, Toulouse University
Laurent Germain, London Business School
July 1999
Germain gratefully acknowledges ¯nancial support from the Groupe ESC
Toulouse and the mission, grant ERBFMRXCT 960054. Many
thanks for ments to the editor, Larry Glosten, the referee, and seminar
participants at \Finance in Tel Aviv", ENSAE, the ENTER Jamboree, Universit¶e
de Toulouse, the London School of Economics and the London Business School,
especially Avraham Beja, Sudipto Bhattacharya, David Goldreich, Michel Habib,
Kjell , Jacques Robert, Jean Charles Rochet, Chester Spatt and Bertrand
Villeneuve.
Abstract
An informed ¯nancial institution can trade on its private signal and also sell
it to its customer through a managed fund. To incentivize the informed agent
to truthfully reveal its signal, the optimal contract requires that the ¯nancial
intermediary pensated as an increasing function of the pro¯ts of the fund.
The optimal contract is also designed to limit the aggressiveness of the sum of
the fund's trade and the proprietary trade, to reduce information revelation, and
thus maximize the overall pro¯tability of the informed trades.
patible Contracts for the
Sale of Information
1 Introduction
An important dimension of the workings of ¯nancial markets is the agency re-
lation between investors and ¯nancial intermediaries, such as brokers, securi-
ties houses or investment banks. These ¯nancial institutions are likely to have
private information about the value of the securities they trade. In their deal-
ings with their customers it is therefore a crucial issue whether they will retain
this information private, or if they have incentives municate it to their
clients. One way municate information is to sell or transmit it to clients
directly, as in newsletters and investment advisory services or by issuing buy or
sell The informed party can also sell information indirectly,
by set