Essays in Financial Economics
type: CreativeWork
description: In the third paper, using a simple model of asset pricing under asymmetric information, we show that asymmetric patterns of lead-lag predictability cannot be solely explained by information asymmetry. Additional frictions, such as transaction costs, are necessary to produce asymmetry in the cross-auto correlations. We also offer a model with non-fundamental speculation, and we show that the model produces negative cross-autocorrelations; a novel feature that has been missing in all previous models of asymmetric information; but has been recently documented for longer horizons (e.g. monthly returns).
abstract: In the third paper, using a simple model of asset pricing under asymmetric information, we show that asymmetric patterns of lead-lag predictability cannot be solely explained by information asymmetry. Additional frictions, such as transaction costs, are necessary to produce asymmetry in the cross-auto correlations. We also offer a model with non-fundamental speculation, and we show that the model produces negative cross-autocorrelations; a novel feature that has been missing in all previous models of asymmetric information; but has been recently documented for longer horizons (e.g. monthly returns).
author: Mahani, Reza Shahidzadeh
language: eng
keywords: Economics, Finance
date published: 2015-09-25T22:47:23Z
date modified: 2026-07-22T22:26:25Z
provider: University of Illinois - Urbana-Champaign
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: University of Illinois at Urbana-Champaign

PropertyValue
property ID: Handle
value: http://hdl.handle.net/2142/85558