
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
Type
Communication / ConférenceDate
2003Titre du colloque
12th Annual Meeting of EFMADate du colloque
2003-06Ville du colloque
HelsinkiPays du colloque
FinlandPages
34
Métadonnées
Afficher la notice complèteRésumé (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 biasPublications associées
Affichage des éléments liés par titre et auteur.
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Bellalah, Makram; Bellalah, Mondher (2001) Document de travail / Working paper
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Aboura, Sofiane; Wagner, Niklas (2015-12) Article accepté pour publication ou publié
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Wagner, Niklas; Aboura, Sofiane (2010) Communication / Conférence
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Aboura, Sofiane; Wagner, Niklas (2009) Communication / Conférence
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Guasoni, Paolo; Lépinette, Emmanuel; Rásonyi, Miklós (2012) Article accepté pour publication ou publié