منابع مشابه
Testing Asymmetric-Information Asset Pricing Models
We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations models with multiple assets and multiple signals, we find that prices and uninformed demand fall as asymmetry increases. These falls are larger when more investors are uninformed, turnover is larger and more variable, payoffs are more uncerta...
متن کاملAsset Pricing and Asymmetric Reasoning∗
We present a new theory of asset pricing and portfolio choices under asymmetric reasoning, contrast the predictions with those under asymmetric information, and present experimental evidence in favor of our theory. The Efficient Markets Hypothesis and its formal foundation, the Rational Expectations Equilibrium, predict that asymmetric information is irrelevant because prices correctly aggregat...
متن کاملAsymmetric Information, Endogenous Illiquidity, and Asset Pricing With Imperfect Competition∗
We use a novel framework that integrates standard asset pricing and microstructure models to study how asymmetric information, imperfect competition among market makers, and risk aversion affect equilibrium illiquidity and asset pricing. All the main results are obtained in closed-form. In our model, market power, asymmetric information, and market-making cost drive market illiquidity. This mod...
متن کاملAsset Pricing Under Asymmetric Information About Distribution of Risk Aversion∗
We study a dynamic competitive equilibrium model with asymmetric information about time-variant aggregate risk aversion. We show that there still exists a linear price function in out model, a nice result in the other asymmetric information competitive equilibrium models. Furthermore, we show that in our model, asymmetric information play a role in the long run risk premium. When the proportion...
متن کاملAsymmetric liquidity risks and asset pricing
This paper contributes to the debate about the extent to which liquidity risk affects asset prices. Motivated by evidence on downward liquidity spirals, flights to liquidity and investor perceptions of risk, we develop and test a liquidity-adjusted capital asset pricing model in which the key innovation is separating liquidity risk into asymmetric upside and downside risks. Our model bridges th...
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ژورنال
عنوان ژورنال: Asian Journal of Economics, Business and Accounting
سال: 2018
ISSN: 2456-639X
DOI: 10.9734/ajeba/2018/42075