Advance information and asset prices

• 成果类型: Article
• 署名作者: Albuquerque, Rui; Miao, Jianjun
• 署名单位: Boston University; Universidade Catolica Portuguesa; Boston University; Central University of Finance & Economics; Zhejiang University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2013.06.001
• 发表日期: 2014
• 页码: 236-275
• 关键词: Advance information; rational expectations equilibrium; Momentum and reversal effects

摘要

This paper provides a dynamic rational expectations equilibrium model in which investors have heterogeneous information and investment opportunities. Informed investors privately receive advance information about future earnings that is unrelated to current earnings. In response to good advance information, stock prices increase and informed investors act as trend chasers, increasing their investment in stocks. Informed investors also buy other investment opportunities that are positively correlated with stocks, bearing more aggregate risk. The expected risk premium increases generating short-run momentum. Uninformed investors sell stocks, acting as contrarians. When the advance information materializes in the future, excess returns fall, generating long-run reversals. (C) 2013 Elsevier Inc. All rights reserved.