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

Bellalah, Makram; Aboura, Sofiane

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

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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

Titre du colloque

12th Annual Meeting of EFMA

Date du colloque

2003-06

Ville du colloque

Helsinki

Pays du colloque

Finland

Métadonnées

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Auteur(s)

Bellalah, Makram

Aboura, Sofiane
Dauphine Recherches en Management [DRM]

Résumé (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.

Mots-clés

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