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| Tekijä: | Zhou, C. |
| Otsikko: | Informational asymmetry and market imperfections: another solution to the equity premium puzzle |
| Lehti: | Journal of Financial and Quantitative Analysis
1999 : DEC, VOL. 34:4, p. 445-464 |
| Asiasana: | ASYMMETRIC INFORMATION MARKETS STOCK MARKETS |
| Kieli: | eng |
| Tiivistelmä: | This paper develops an equilibrium pricing model to explain the equity premium puzzle and the risk-free rate puzzle by allowing for both market frictions and informational asymmetry. The paper argues that much of the high equity premium in the Mehra and Prescot (1985) sample period can be explained by informational asymmetry among investors and the inability of many investors to diversify their portfolios. |
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