Nonparametric Testing for Asymmetric Information
نویسندگان
چکیده
منابع مشابه
Nonparametric Testing for Asymmetric Information
Asymmetric information is an important phenomenon in many markets and in particular in insurance markets. Testing for asymmetric information has become a very important issue in the literature in the last two decades. Almost all testing procedures that are used in empirical studies are parametric, which may yield misleading conclusions in the case of misspecification of either functional or dis...
متن کاملTesting for Asymmetric Information in Automobile Insurance Market an Iranian Insurance Company
The presence of asymmetric information is an important source of efficiency loss for insurance companies and could reduce profitability. In this paper, we test the conditional independence of coverage choice and risk, where “conditional” means conditional on all variables observed by the insurer. We use two parametric methods: a pair of probits and a bivariate probit model. The data includes al...
متن کاملNonparametric independence testing via mutual information
We propose a test of independence of two multivariate random vectors, given a sample from the underlying population. Our approach, which we call MINT, is based on the estimation of mutual information, whose decomposition into joint and marginal entropies facilitates the use of recently-developed efficient entropy estimators derived from nearest neighbour distances. The proposed critical values,...
متن کاملTesting 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 کاملTesting for asymmetric information in the viager market∗
This paper tests for the presence of asymmetric information in the viager real estate market. Sellers who use the viager mechanism are entitled to stay in their property until death. Buyers have to make a down payment at the purchase date, and pay regular sums of money until the seller dies. Thanks to a no arbitrage condition (buyers must be indifferent between purchasing on the standard and vi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2013
ISSN: 0735-0015,1537-2707
DOI: 10.1080/07350015.2012.755127