作者：WANG, J
摘要：This paper presents a dynamic asset-pricing model under asymmetric information. Investors have different information concerning the future growth rate of dividends. They rationally extract information from prices as well as dividends and maximize their expected utility. The model has a closed-form solution to the rational expectations equilibrium. We find that existence of uninformed investors increases the risk premium. Supply shocks can affect the risk premium only under asymmetric informati...
作者：TIAN, GQ
摘要：This paper provides necessary and sufficient conditions for the existence of greatest and maximal elements of weak and strict preferences, and unifies two very different approaches used in the related literature (the convexity and acyclicity approaches). Conditions called transfer FS-convexity and transfer SS-convexity are shown to be necessary and, in conjunction with transfer closedness and transfer openness, sufficient for the existence of greatest and maximal elements of weak and strict pr...
作者：CAMPBELL, JY; KYLE, AS
作者单位：University of California System; University of California Berkeley
摘要：This paper estimates an equilibrium model of stock price behaviour in which changes in exponentially de-trended dividends and prices are normally distributed and exogenous ''noise traders'' interact with ''smart-money'' investors who have constant absolute risk aversion. The model can explain the volatility and predictability of U.S. stock returns in the period 1871-1986 using either a low discount rate (4% or below) and a large constant risk discount on the stock price, or a higher discount r...
