This study sets out to determine the way in which informed traders time their informed trading when all traders are seen as being risk-averse. We find that in equilibrium, informed traders may choose to trade either early or late on their information, a decision which will be largely dependent on the parameter values of the proposed model. Our study further finds that under a scenario within which informed traders elect to trade late on their information, prices will delay the revealing of private information, as a result of which the market may present less liquidity, prices can exhibit greater variability, and price changes may demonstrate positive serial correlation.
Keywords: Asymmetric information; Informed trading; Market liquidity; Price volatility; Serial correlation.
