• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
  •   BIRD Home
  • DRM (UMR CNRS 7088)
  • DRM : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail

The effect of asymmetric information and transaction costs on asset pricing: theory and tests

Bellalah, Makram; Aboura, Sofiane (2003), The effect of asymmetric information and transaction costs on asset pricing: theory and tests, 12th Annual Meeting of EFMA, 2003-06, Helsinki, Finland

View/Open
cereg2001-06_BELLALAH_The Effect of Asymmetric Information and Transaction Costs on Asset Pricing _Theory and Tests.pdf (227.0Kb)
Type
Communication / Conférence
Date
2003
Conference title
12th Annual Meeting of EFMA
Conference date
2003-06
Conference city
Helsinki
Conference country
Finland
Pages
34
Metadata
Show full item record
Author(s)
Bellalah, Makram

Aboura, Sofiane
Dauphine Recherches en Management [DRM]
Abstract (EN)
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.
Subjects / Keywords
Asset pricing; Asymmetric information; Home bias
JEL
G11 - Portfolio Choice; Investment Decisions
G12 - Asset Pricing; Trading Volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies; Insider Trading

Related items

Showing items related by title and author.

  • Thumbnail
    International Portfolio Choice and the Effect of Information Costs 
    Bellalah, Makram; Bellalah, Mondher (2001) Document de travail / Working paper
  • Thumbnail
    Extreme asymmetric volatility: Stress and aggregate asset prices 
    Aboura, Sofiane; Wagner, Niklas (2015-12) Article accepté pour publication ou publié
  • Thumbnail
    Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices 
    Wagner, Niklas; Aboura, Sofiane (2010) Communication / Conférence
  • Thumbnail
    Extreme Asymmetric Volatility, Leverage, Feedback and Asset Prices 
    Aboura, Sofiane; Wagner, Niklas (2009) Communication / Conférence
  • Thumbnail
    The fundamental theorem of asset pricing under transaction costs 
    Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós (2012) Article accepté pour publication ou publié
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo