信息不对称和交易成本对资产定价的影响:理论与检验

EFMA 2003 Helsinki Meetings (Archive) Pub Date : 2003-04-21 DOI:10.2139/ssrn.391682

M. Bellalah, Sofiane Aboura

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引用次数: 10

摘要

本文提出了一个考虑信息不对称和交易成本的资本资产定价模型。该模型是默顿(1987)模型和布莱克(1974)模型的一般化版本。实证检验表明，期望收益率与不完全信息的影子成本呈负相关。本文的结果有可能在国内和国际背景下解释家乡偏见公平。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Effect of Asymmetric Information and Transaction Costs on Asset Pricing: Theory and Test

This paper presents a capital asset pricing model in the presence of asymmetric information and transaction costs. The model is a generalized version of Merton's (1987) model and Black's (1974) model. Empirical tests show a negative relation between the expected rate of return and the shadow costs of incomplete information. The results in this paper have the potential to explain the home bias equity in a domestic and an international context.

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EFMA 2003 Helsinki Meetings (Archive)

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