Transaction Prices When Insiders Trade Portfolios
扩展了Kyle（1985）的多资产模型，研究内部人交易投资组合时交易价格的统计特性，解释了单个资产价格不可预测、指数收益正自相关和低横截面协方差等现象，但无法解释一阶自协方差矩阵的非对称性和秩不足。
Statistical properties of transaction prices are investigated in the context of a multi-asset extension of Kyle [1985]. Under the restriction that market makers cannot condition prices on volume in other markets, Kyle's model is shown to be consistent with well-documented lack of predictability of individual asset prices, positive autocorrelation of index returns, and low cross-sectional covariance. The covariance estimator of Cohen, e.a. [1983] provides the right estimates of the "true" covariance. However, Kyle's model cannot explain the asymmetry and rank deficiency of the matrix of first-order autocovariances. Asymmetry obtains when the insider limits his strategies to trading a set of pre-determined portfolios. If these portfolios are well-diversified, the matrix of first-order autocovariances is asymptotically rank-deficient. If the insider uses only one portfolio (as when "timing the market"), its asymptotic rank equals one, conform to the empirical results in Gibbons and Ferson [1985].