| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7194 |
| DP7194 Democracy and Reforms | |
| Antonio Spilimbergo; Paola Giuliano; Prachi Mishra | |
| 发表日期 | 2009-03-01 |
| 出版年 | 2009 |
| 语种 | 英语 |
| 摘要 | Theoretical asset pricing models routinely assume that investors have heterogeneous information. We provide direct evidence of the importance of information asymmetry for asset prices and investor demands using plausibly exogenous variation in the supply of information caused by the closure or restructuring of brokerage firms' research operations. Consistent with predictions derived from a Grossman and Stiglitz-type model, share prices and uninformed investors' demands fall as information asymmetry increases. Cross-sectional tests support the comparative statics. Prices and uninformed demand experience larger declines, the more investors are uninformed, the larger and more variable is turnover, the more uncertain is the asset's payoff, and the noisier is the better-informed investors' signal. We show that prices fall because expected returns become more sensitive to a liquidity-risk factor. Our results imply that information asymmetry has a substantial effect on asset prices and that a primary channel linking asymmetry to prices is liquidity. |
| 主题 | Financial Economics |
| 关键词 | Analyst coverage Asymmetric-information asset pricing Liquidity |
| URL | https://cepr.org/publications/dp7194 |
| 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/536031 |
| 推荐引用方式 GB/T 7714 | Antonio Spilimbergo,Paola Giuliano,Prachi Mishra. DP7194 Democracy and Reforms. 2009. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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