Graduate School of Industrial Administration, Carnegie Mellon University. This paper is based on the second chapter of my dissertation from the University of Chicago. This research benefitted greatly from the advice of my dissertation committee, Douglas Diamond (chairman), Robert Holthausen, Merton Miller, George Constantinides, Kenneth French, and Robert Vishny. I also want to thank Maria Herrero, Paul Pfleiderer, Chester Spatt, Sanjay Srivastava, and especially René Stulz (editor) and an anonymous referee for their comments and suggestions.
Equilibrium Block Trading and Asymmetric Information
Article first published online: 30 APR 2012
1990 The American Finance Association
The Journal of Finance
Volume 45, Issue 1, pages 73–94, March 1990
How to Cite
SEPPI, D. J. (1990), Equilibrium Block Trading and Asymmetric Information. The Journal of Finance, 45: 73–94. doi: 10.1111/j.1540-6261.1990.tb05081.x
- Issue published online: 30 APR 2012
- Article first published online: 30 APR 2012
This paper investigates the existence of equilibria with information-based block trading in a multiperiod market when no investor is constrained to block trade. Attention is restricted to equilibria in which a strategic uninformed institution (i.e., one which is forced to rebalance its portfolio but is free to choose an optimal rebalancing strategy) is willing to trade a block rather than “break up” the block into a series of smaller trades. Examples of such equilibria are found and analyzed.