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Cited by 580

The DOI matches its Crossref record; 63 of the 63 references it cites were found in a registry or an index.

Testing Asymmetric-Information Asset Pricing Models

Kelly, Bryan, Ljungqvist, Alexander·2012·Review of Financial Studies
DOI 10.1093/rfs/hhr134
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Abstract

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 uncertain, and the lost signal is more precise. Prices fall partly because expected returns become more sensitive to liquidity risk. Our results confirm that information asymmetry is priced and imply that a primary channel that links asymmetry to prices is liquidity.

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Metadata

Authors
Kelly, B., & Ljungqvist, A.
Venue
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Published
2012-01-05
Volume
25
Issue
5
Pages
1366-1413
ISSN
  • 0893-9454 (ISSN-L)
  • 1465-7368
DOI
10.1093/rfs/hhr134
OpenAlex
W3121814340
Cited by
580
References
63
FWCI
40.86
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Testing Asymmetric-Information Asset Pricing Models. https://app.cochat.ai/papers/10.1093/rfs/hhr134
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Kelly, B., & Ljungqvist, A. (2012). Testing Asymmetric-Information Asset Pricing Models. Review of Financial Studies. https://doi.org/10.1093/rfs/hhr134

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.