出版社：Suntory Toyota International Centres for Economics and Related Disciplines
摘要：Focusing on homogeneous beliefs, we can distinguish two commonly shared ideasthat, i) the competition between informed traders destroys their trading profits, ii)trading with a noisy signal brings about a loss in the expected profits. So far, it hasbeen proved in the latter framework, that when N strategic and perfectly informedtraders compete in the financial market, i) the informativeness of prices increaseswith the degree of competition and, ii) the aggregate and individual profits go to 0when N is large. In this paper, we propose a general study where N strategicinformaed agents have heterogeneous beliefs, i.e. are endowed with noisyinformation and compete à la Nash. We prove the existence and uniqueness of alinear equilibrium generalizing Kyle (1985) results to the case of N informed traderswhen the insiders have heterogeneous beliefs. In this general framework, we derivethe following striking results: for certain regions of noise and numbers of competitorsin excess of four, i) each individual expected profit is greater than the one obtained inthe perfectly informed (and homogeneous beliefs) case; ii) the aggregate profit has afinite (strictly) positive limit when N is large. iii) Even when an infinite number ofinsiders compete in the market, the price is no longer efficient and does not fullyreveal the final liquidation value of the risky asset. iv) In the particular case whereeach informed agent is endowed with a signal the precision of which is the same, a)we show that there exists an optimal level of noise for which each individualexpected profit is maximized; b) we show that there exists an optimal size of themarket for which the aggregate expectged profit is maximized; c) the liquidity is anincreasing function of the number of informed traders but has a finite limit for large N;d) the informativeness of prices is a decreasing function of the number of informedtraders
