Information and capital asset pricing

Investors in a market frequently update their diverse perceptions of the values of risky assets, thus invalidating the classic capital asset pricing model's (CAPM) assumption of complete agreement among investors. To accommodate information asymmetry and belief updating, we have developed an em...

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Bibliographic Details
Main Authors: Baibing Li, Xiangkang Yin
Format: Default Article
Published: 2011
Subjects:
Other commerce, management, tourism and services not elsewhere classified
Asset pricing
Asymmetric information
CAPM anomaly
Rational expectations equilibrium
Business and Management not elsewhere classified
Online Access:https://hdl.handle.net/2134/9160
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