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Communication Dans Un Congrès Année : 2003

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

Résumé

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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Dates et versions

hal-01526167 , version 1 (22-05-2017)

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  • HAL Id : hal-01526167 , version 1

Citer

Makram Bellalah, Sofiane Aboura. The effect of asymmetric information and transaction costs on asset pricing: theory and tests. 12th Annual Meeting of the European Financial Management Association, Jun 2003, Helsinki, Finland. pp.34. ⟨hal-01526167⟩
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