Essays in Financial Economics

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).

Name thesis:degree_name

Ph.D.

Level thesis:degree_level

Dissertation

Discipline thesis:degree_discipline

Economics

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2015

Author dc:creator

• Mahani, Reza Shahidzadeh

Contributors dc:contributor

• Bernhardt, Dan

• Economics, Finance

Language dc:language

eng

Identifier

(MiAaPQ)AAI3199079

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/85558