Bellalah, Makram; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2003
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...