The Effect of Asymmetric Information and Transaction Costs on Asset Pricing : Theory and Test

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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Year of publication:	[2015]
Authors:	Bellalah, Makram
Other Persons:	Aboura, Sofiane (contributor)
Publisher:	[2015]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (33 p)
Type of publication:	Book / Working Paper
Other identifiers:	10.2139/ssrn.391682 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012708221