Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5062068 | Economics Letters | 2007 | 9 Pages |
Abstract
Using an asset pricing model under asymmetric information, we show that asymmetric lead-lag patterns in stock returns cannot be solely explained by information asymmetry. Additional frictions are necessary to produce asymmetry in return cross-autocorrelations.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Dan Bernhardt, Reza S. Mahani,