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https://hdl.handle.net/2142/85558
Description
Title
Essays in Financial Economics
Author(s)
Mahani, Reza Shahidzadeh
Issue Date
2005
Doctoral Committee Chair(s)
Bernhardt, Dan
Department of Study
Economics
Discipline
Economics
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
Ph.D.
Degree Level
Dissertation
Keyword(s)
Economics, Finance
Language
eng
Abstract
In the third paper, using a simple model of asset pricing under asymmetric information, we show that asymmetric patterns of lead-lag predictability cannot be solely explained by information asymmetry. Additional frictions, such as transaction costs, are necessary to produce asymmetry in the cross-auto correlations. We also offer a model with non-fundamental speculation, and we show that the model produces negative cross-autocorrelations; a novel feature that has been missing in all previous models of asymmetric information; but has been recently documented for longer horizons (e.g. monthly returns).
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