Advance Disclosure of Insider Trading in a Competitive Market

We present a noisy rational expectations equilibrium model in which agents who possess private information regarding the profitability of a firm are required to provide advance disclosure of their trading activity. We analytically characterize an equilibrium and conduct a numerical analysis to evaluate the implications of advance disclosure relative to a market in which informed agents trade without providing advance disclosure. ∗Tepper School of Business, Carnegie Mellon University; [email protected]. I thank Artem Neklyudov, Chester Spatt, Brent Glover, conference participants at the 2011 AAA Northeast Regional Meeting, and seminar participants at Carnegie Mellon University for helpful comments and suggestions. I am responsible for all errors.