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Asymmetric Information and the Distribution of Trading Volume
Lof, Matthijs - 2019
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a microstructure model to demonstrate that VCV is strictly increasing in the...
Persistent link: https://www.econbiz.de/10012903640
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Asymmetric Information and the Distribution of Trading Volume
Lof, Matthijs - 2018
We propose the Volume Coefficient of Variation (VCV), the ratio of the standard deviation to the mean of trading volume, as a new and easily computable measure of information asymmetry in security markets. We use a simple microstructure model to demonstrate that VCV is strictly increasing in the...
Persistent link: https://www.econbiz.de/10012929586
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Characterization of pure strategy equilibria in uniform price IPO auctions/ Ping Zhang
Zhang, Ping - 2009
We characterize pure strategy equilibria of common value multi-unit uniform price auctions under the framework of initial public offerings, where bidders have incomplete private information regarding the value of shares and submit discrete demand schedules. We show that there exists a continuum...
Persistent link: https://www.econbiz.de/10003817231
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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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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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Beauty Contests Under Private Information and Diverse Beliefs : How Different?
Kurz, Mordecai - 2007
is used to test hypotheses of HB. We show the common knowledge assumptions of the PI theory are implausible. The theories … differ on four main analytical issues. (1) The pricing theory under PI implies prices have infinite memory and at each t … rationality conditions impose restrictions on any HB theory. We explain the tight restrictions on the model's parameters imposed …
Persistent link: https://www.econbiz.de/10012775716
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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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Private Information, Securities Lending, and Asset Prices
Nezafat, Pedram - 2020
We study the role of private information in the equity-lending market in a rational expectations model with endogenous loan fees. When all investors are privately informed, an increase in information precision reduces the fee by increasing trading aggressiveness and decreasing demand dispersion....
Persistent link: https://www.econbiz.de/10012851740