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A Model of Intertemporal Asset Prices Under Asymmetric Information
Open accessAbstract
This paper presents a dynamic asset-pricing model under asymmetric information. Investors have different information concerning the future growth rate of dividends. They rationally extract information from prices as well as dividends and maximize their expected utility. The model has a closed-form solution to the rational expectations equilibrium. We find that existence of uninformed investors increases the risk premium. Supply shocks can affect the risk premium only under asymmetric information. Information asymmetry among investors can increase price volatility and negative autocorrelation in returns. Less-informed investors may rationally behave like price chasers.
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Citations
Cited by
Stock Market Overreactions to Bad News in Good Times: A Rational Expectations Equilibrium Model
Veronesi, P. (1999) · Review of Financial Studies · doi:10.1093/rfs/12.5.975 · Cited by 998
Amihud, Y., Mendelson, H., & Pedersen, L. H. (2005) · Foundations and Trends® in Finance · doi:10.1561/0500000003 · Cited by 820
Dynamic Volume-Return Relation of Individual Stocks
Llorente, G., Michaely, R., Saar, G., & Wang, J. (2002) · Review of Financial Studies · doi:10.1093/rfs/15.4.1005 · Cited by 689
Self-citationDo Domestic Investors Have an Edge? The Trading Experience of Foreign Investors in Korea
Choe, H., Kho, B.-C., & Stulz, R. M. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi028 · Cited by 616
Testing Asymmetric-Information Asset Pricing Models
Kelly, B., & Ljungqvist, A. (2012) · Review of Financial Studies · doi:10.1093/rfs/hhr134 · Cited by 580
Metadata
- Authors
- Wang, J.
- Venue
- The Review of Economic Studies
- Publisher
- Oxford University Press (OUP)
- Published
- 1993-04
- Volume
- 60
- Issue
- 2
- Pages
- 249
- ISSN
- 0034-6527 (ISSN-L)
- OpenAlex
- W2060714269
- Cited by
- 713
- References
- 0
- FWCI
- 9.70
- Type
- journal article
- Language
- en
- Open access
- green
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- Wang, J. (1993). A Model of Intertemporal Asset Prices Under Asymmetric Information. The Review of Economic Studies. https://doi.org/10.2307/2298057
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
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.
