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Intertemporal asset prices under asymmetric information.
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View online- Format:
- Book
- Thesis/Dissertation
- Author/Creator:
- Wang, Jiang.
- Language:
- English
- Subjects (All):
- Finance.
- 0508.
- Penn dissertations--Finance.
- Finance--Penn dissertations.
- Local Subjects:
- Penn dissertations--Finance.
- Finance--Penn dissertations.
- 0508.
- Physical Description:
- 92 pages
- Contained In:
- Dissertation Abstracts International 51-05A.
- System Details:
- Mode of access: World Wide Web.
- text file
- Summary:
- In this thesis, we present a dynamic asset pricing model under asymmetric information. We assume that 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 employ the model to address the issue of stock price volatility, stock returns, risk premium and investors' trading strategies. The main results are summarized as follows. (i) Under asymmetric information, stock prices deviate from their fundamental values under perfect information. The temporary component in the deviations give rise to negative serial correlation in stock returns. (ii) Under asymmetric information, stock prices become more volatile than can be justified by the shocks to underlying fundamentals. (iii) The equity premium under asymmetric information is much higher than that predicted under homogeneous and perfect information. (iv) Investors with different information anticipate different returns from investing in stocks and adopt different trading strategies. (v) Less informed investors may rationally behave as trend chasers, because of the information impact of price changes under asymmetric information, while the informed investors are contrarians.
- Notes:
- Thesis (Ph.D. in Finance) -- Graduate School of Arts and Sciences, University of Pennsylvania, 1990.
- Source: Dissertation Abstracts International, Volume: 51-05, Section: A, page: 1716.
- Supervisor: Sanford J. Grossman.
- Local Notes:
- School code: 0175.
- Access Restriction:
- Restricted for use by site license.
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