Study on disclosure and information sales in the financial markets.

Summary This research is part of the microstructure theory. The first chapter is a review of the literature on the revelation of information during the pre-opening of order-driven markets and on information selling models. The second chapter proposes a theoretical analysis of the pre-opening mechanism of order-driven markets. The model of vives (1995) where investors observe only one signal, before the beginning of the game, is extended to the more general case where they receive a series of signals during the game. The speed of information revelation is then significantly higher. In the third chapter, a model is proposed for a financial intermediary who, on the one hand, carries out transactions for his own account and, on the other hand, manages the funds of a client. This management of funds can be interpreted as an indirect sale of information. Information selling contracts allow the informant to credibly commit to adding noise to the market and thus increase the total profits of both the client and the informant. In the last chapter, the previous study is generalized to the case of an oligopoly of information sellers. In this context, the paradox of Grossman and Stiglitz (1980) is reversed: when the acquisition of information is free, prices are no longer informative at all because the number of sellers is infinite in equilibrium. On the other hand, the greater the cost of acquiring information, the greater the information content of prices. Finally, the expected profits of information sellers remain positive even when their number tends towards infinity.