Title of article
Asymmetric information and stock return cross-autocorrelations
Author/Authors
Dan Bernhardt، نويسنده , , Reza S. Mahani، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2007
Pages
9
From page
14
To page
22
Abstract
Using an asset pricing model under asymmetric information, we show that asymmetric lead-lag patterns in stock returns cannot be solely explained by information asymmetry. Additional frictions are necessary to produce asymmetry in return cross-autocorrelations
Keywords
asset pricing , frictions , Micro-structure , Asymmetric information , Lead-lag
Journal title
Economics Letters
Serial Year
2007
Journal title
Economics Letters
Record number
436257
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