| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP144 |
| DP144 Market Size, the Informational Content of Stock Prices and Risk: A Multiasset Model and some Evidence | |
| Marco Pagano | |
| 发表日期 | 1986-12-01 |
| 出版年 | 1986 |
| 语种 | 英语 |
| 摘要 | Market thinness can be an important determinant of the riskiness of stock returns, because it reduces the reliability of stock prices as predictors of future dividends. This paper analyses the relationship between market size and risk as the outcome of rational expectations equilibrium in a multiasset model with transaction costs, and shows that: (i) the conditional and measured variance of stock returns should be higher for thin issues ceteris paribus, and (ii) this thinness-variability relationship should arise only from the unsystematic component of the variance. These predictions are tested on data from the Milan Stock Exchange and appear to be supported by the evidence. |
| 主题 | International Macroeconomics |
| 关键词 | Financial markets Information Italy Market thinness Risk stock market Stock prices |
| URL | https://cepr.org/publications/dp144 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/529300 |
| 推荐引用方式 GB/T 7714 | Marco Pagano. DP144 Market Size, the Informational Content of Stock Prices and Risk: A Multiasset Model and some Evidence. 1986. |
| 条目包含的文件 | 条目无相关文件。 | |||||
| 个性服务 |
| 推荐该条目 |
| 保存到收藏夹 |
| 导出为Endnote文件 |
| 谷歌学术 |
| 谷歌学术中相似的文章 |
| [Marco Pagano]的文章 |
| 百度学术 |
| 百度学术中相似的文章 |
| [Marco Pagano]的文章 |
| 必应学术 |
| 必应学术中相似的文章 |
| [Marco Pagano]的文章 |
| 相关权益政策 |
| 暂无数据 |
| 收藏/分享 |
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
