Similar Search Results

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

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

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

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

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

The asymmetric mispricing information in analysts' target prices

Green, Jeremiah; Hand, John R.; Sikochi, Anywhere - 2021

Persistent link: https://www.econbiz.de/10013173314

Asymmetric Information, Endogenous Illiquidity, and Asset Pricing with Imperfect Competition

Liu, Hong - 2010

We propose a novel and tractable equilibrium model to study how information asymmetry, competition among market makers, and investors' risk aversion affect asset pricing, market illiquidity and welfare. The main innovation is that market makers compete through choosing simultaneously quantities...

Persistent link: https://www.econbiz.de/10013146613

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

Learning From Prices : Information Aggregation and Accumulation in an Asset Price Model

Berardi, Michele - 2020

Can prices convey information about the fundamental value of an asset? This paper considers this problem in relation to the dynamic properties of the fundamental (whether it is constant or time-varying) and the structure of information available to agents. Risk-averse traders receive two...

Persistent link: https://www.econbiz.de/10012828061

Learning from prices : information aggregation and accumulation in an asset price model

Berardi, Michele - 2020

Persistent link: https://www.econbiz.de/10012793402