文档介绍：Informed Speculation and
Hedging in a petitive
Securities Market
Matthew Spiegel
Avanidhar Subrahmanyam
Columbia University
We examine an adverse selection model of trading
in which both informed and uninformed traders
are rational, maximizing agents. Replacing the
price inelastic “noise” or “liquidity” traders with
strategic, utility-maximizing hedgers permits an
explicit analysis of the uninformed traders’ wel-
fare, and demonstrates that parative
statics obtained from the standard paradigm of
Kyle (1984, 1985) are altered significantly upon
endogenizing the trading motives of these agents.
In contrast to extant models, market liquidity and
price efficiency are both nonmonotonic in the
number of uninformed hedgers in the market. Also,
the welfare of hedgers monotonicany decreases
with the number of informed traders, despite
petition between the informed.
The applied literature on financial markets with asym-
metric information has made impressive advances in
recent years. In no small measure, this is due to the
model of Kyle (1984, 1985), which has now e
a standard framework for analyzing strategic noisy
rational expectations markets. Variants of this para-
digm have been used to analyze a wide variety of
issues, to parative statics regarding market
We gratefully acknowledge the feedback of the referee (Mike Fishman) and
Chester Span. We also thank Michael Brennan, Bruno Gerard, David Hirsh-
leifer, and Gur Huberman for ments and/or discussions. All errors
are out sole responsibility. Address correspondence to A. Subrahmanyam,
Graduate School of Business, Columbia University, New York. NY 10027.
The Review of Financial Studies 1992 Volume 5, number 2, pp. 307-329
© 1992 The Review of Financial Studies 0893-9454/92/$
liquidity and the informational efficiency of prices, and to obtain
implications for financial market; While this model is both
insightful and a powerful analyti