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Investment Horizons and Asset Prices Under Asymmetric Information
Albagli, Elias - 2014
I study a generalized OLG economy where asymmetrically informed agents have arbitrary investment horizons. As horizons increase, the age-adjusted risk aversion of investors fall, and the risk transfer from forced liquidators into voluntary buyers drops. Two equilibria coexist for long enough...
Persistent link: https://www.econbiz.de/10013064961
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Asymmetric News and Asset Pricing
Suijs, Jeroen - 2011
This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial...
Persistent link: https://www.econbiz.de/10013119323
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Information Asymmetry, Market Participation, and Asset Prices
Hirshleifer, David A. - 2017
-known prediction of a risk premium for nonparticipation, in our model risk premia satisfy the CAPM. Investors hold a fund that provides …
Persistent link: https://www.econbiz.de/10012969541
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Governance and Liquidity Commonality in Asset Pricing
Strobl, Sascha - 2016
Governance characteristics are potentially a proxy for information asymmetry that may be better captured by the market liquidity of a company's shares. Although liquidity has been established as a risk factor in the asset-pricing paradigm, there is still an ongoing debate as to whether...
Persistent link: https://www.econbiz.de/10013003551
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Differences of Opinion, Endogenous Liquidity, and Asset Prices
Osambela, Emilio - 2016
This article studies how investors' differences of opinion affect liquidity and asset prices. We construct a dynamic general-equilibrium economy in which one population of excessively optimistic investors is subject to endogenous funding constraints that prevent default due to ex-ante limited...
Persistent link: https://www.econbiz.de/10013008780
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Asymmetry in Stock Comovements : An Entropy Approach
Jiang, Lei - 2020
We provide an entropy approach for measuring asymmetric comovement between the return on a single asset and the market return. This approach yields a model-free test for stock return asymmetry, generalizing the correlation-based test proposed by Hong, Tu, and Zhou (2007). Based on this test, we...
Persistent link: https://www.econbiz.de/10012856552
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Disagreements with noisy signals and asset pricing
Wang, Hailong; Hu, Duni; Ma, Chaoqun; Cheng, Fengchao - In: The North American journal of economics and finance : a … 51 (2020), pp. 1-35
Persistent link: https://www.econbiz.de/10012659556
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Testing the CAPM Under Asymmetric Information
Guéniche, Alain; Burlacu, Radu; Jimenez-Garcès, Sonia G. - 2022
portfolio is not a relevant benchmark for testing the CAPM. Each investor appraises expected returns and builds his optimal … benchmark to consider for the conditional CAPM(s)? Many CAPM empirical tests consider future realized returns as proxies for … correct benchmark for testing the CAPM from the perspective of this investor. Our empirical results provide a more optimistic …
Persistent link: https://www.econbiz.de/10013292834
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Beauty Contests and Asset Prices under Asymmetric Information
Ishikawa, Ryuichiro - 2010
In this paper, we study a dynamic Gaussian financial market model in which the traders form higher-order expectations about the fundamental value of a single risky asset. Rational uninformed traders are introduced into an otherwise standard differential information economy to investigate the...
Persistent link: https://www.econbiz.de/10013148628
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Information, Liquidity and Asset Prices
Lester, Benjamin R.; Postlewaite, Andrew; Wright, Randall - 2008
We study economies with multiple assets that are valued both for their return and liquidity. Exchange occurs in decentralized markets with frictions making a medium of exchange essential. Some assets are better suited for this role because they are more liquid - more likely to be accepted in...
Persistent link: https://www.econbiz.de/10014213763