Asymmetric information and daily stock prices in Brazil

Information and Stock Prices: A Simple Introduction

This article summarizes recent research in financial economics about why information, such as earnings announcements, moves stock prices. The article does not presume any prior exposure to finance beyond what you might read in newspapers.

Universal state prices and asymmetric information

This note gives a simple, robust, and arbitrage-free example of the absence of a fixed vector of state prices that applies to asymmetrically informed agents. In the same sense, the example is such that there is no universal equivalent martingale measure. The example has a finite number of agents, states, and periods. In this example, moreover, each of the asymmetrically informed agents has comp...

Stock prices and house prices: Which one affects the other?

Stocks and houses as two major assets which play important role in the balance sheet of Iranian households. Changes in two markets have a large influence on wealth and the general economy. The purpose of this study is to examine the relationship between stock and house prices over a thirty-year period using vector auto-regression (VAR). Using yearly data for the period from 1985 to 2013, we con...

Consistency of the Geometric Brownian Motion Model of Stock Prices with Asymmetric Information

This work is concentrated on the microeconomic foundation of modern option pricing models. We develop a model of market agents’ interactions, induced by heterogeneity of information, which is consistent with both modern option pricing models and empirical facts about stock price behavior. In particular, we focus on the connection between volatility and trading volume. We show that the geometric...

Gradual Incorporation of Information into Stock Prices: Empirical Strategies