Testing Asymmetric-Information Asset Pricing Models

@inproceedings{Kelly2012TestingAA,
  title={Testing Asymmetric-Information Asset Pricing Models},
  author={Bryan Kelly and Alexander P. Ljungqvist},
  year={2012}
}
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… CONTINUE READING
Highly Cited
This paper has 64 citations. REVIEW CITATIONS

9 Figures & Tables

Topics

Statistics

010202012201320142015201620172018
Citations per Year

65 Citations

Semantic Scholar estimates that this publication has 65 citations based on the available data.

See our FAQ for additional information.