haku: @author Shapiro, A. / yhteensä: 4
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| Tekijä: | Shapiro, A. |
| Otsikko: | The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence |
| Lehti: | Review of Financial Studies
2002 : SPRING, VOL. 15:1, p. 97-142 |
| Asiasana: | INVESTORS INVESTMENTS EQUILIBRIUM ANALYSIS THEORIES |
| Kieli: | eng |
| Tiivistelmä: | This article analyzes a dynamic general equilibrium under a generalization of Merlon's (1987) investor recognition hypothesis. A class of informationally constrained investors is assumed to implement only a particular trading strategy. The model implies that, all else being equal, a risk premium on a less visible stock need not be higher than that on a more visible stock with a lower volatility-contrary to results derived in a static mean-variance setting. A consumption based capital asset pricing model (CAPM) augmented by the generalized investor recognition hypothesis emerges as a viable contender for explaining the cross sectional variation in unconditional expected equity returns. |
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