A MODEL OF INTERTEMPORAL ASSET PRICES UNDER ASYMMETRIC INFORMATION

被引：298
|
作者：
WANG, J
机构：
来源：
REVIEW OF ECONOMIC STUDIES | 1993年 / 60卷 / 02期
关键词：
D O I：
10.2307/2298057
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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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页码：249 / 282
页数：34
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