Informed Speculation and Hedging in a Noncompetitive Securities Market
构建了一个知情与不知情交易者均为理性最大化主体的逆向选择交易模型，将价格无弹性的噪声交易者替换为策略性对冲者，发现市场流动性和价格效率随不知情对冲者数量呈非单调变化，且对冲者福利随知情交易者数量单调下降。
We examine an adverse selection model of trading in which both informed and uninformed traders are rational, maximizing agents. Replacing the price inelastic "noise" or "liquidity" traders with strategic, utility-maximizing hedgers permits an explicit analysis of the uninformed traders' welfare, and demonstrates that several comparative statics obtained from the standard paradigm of Kyle (1984, 1985) are altered significantly upon endogenizing the trading motives of these agents. In contrast to extant models, market liquidity and price efficiency are both nonmonotonic in the number of uninformed hedgers in the market. Also, the welfare of hedgers monotonically decreases with the number of informed traders, despite greater competition between the informed.