Public Information Manipulation in the Financial Market
Finance research letters(2023)
摘要
Which factor might shape investor's sentiment in the financial market? We answer this question by introducing information manipulation into the micro-structure of a financial market. In our model, an insider inflates the fundamental to boost the equilibrium market price. Because the manipulation cost is private information, the investors treat the manipulation as a noisy signal, or rather, sentiment. The manipulation turns out to be a linear combination of fundamental and manipulation cost. The equilibrium level of manipulation decreases with market supply elasticity and transparency. Overall, our theory suggests insider's manipulation as a possible source of market sentiment.
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关键词
Information manipulation,Financial market,Sentiment
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