Informed Trading When Information Becomes Stale

Dan Bernhardt, Jianjun Miao

Research output: Contribution to journalArticlepeer-review


This paper characterizes informed trade when speculators can acquire distinct signals of varying quality about an asset's value at different dates. The most reasonable characterization of private information about stocks is that while information is long-lived, new information will arrive over time, information that may be acquired by others. Hence, while a speculator may know more than others at a moment, in the future, his information will become stale, but not valueless. In an environment that allows for arbitrary correlations among signals, we characterize equilibrium outcomes including trading, prices, and profits. We provide explicit numerical characterizations for different informational environments.

Original languageEnglish (US)
Pages (from-to)339-390
Number of pages52
JournalJournal of Finance
Issue number1
StatePublished - Feb 2004

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics


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