Asset Price Variability Under Assymetric Information

This paper examines the effect of a change in the percentage of informed participants in an asset market on the variability of prices. We consider equilibrium in the asset market before and after the information is revealed to a subset of traders. We find that (i) ex post price variability may increase, and (ii) ex ante price variability will increase, following a rise in the proportion of informed market participants. 

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