Differential Information and Security Market
skullEquilibrium
期刊名称： Journal of Financial & Quantitative Analysis
criterion作者： Christopher B. Barry and Stephen J. Brown
年份： 1985年
视听设备期号： 第4期英文学习
摘要：We propo a simple model of equilibrium ast pricing in which there are differences in the amounts of information available for developing inferences about the returns parameters of alternative curities. In contrast with earlier work, we show that parameter uncertainty, or estimation risk, can have an effect upon market equilibrium. Under reasonable conditions, curities for which there is relatively little information are shown to have relatively higher systematic risk when that risk is properly measured, ceteris paribus. The initially very limited model is shown to be robust with respect to relaxati
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瑞典语翻译on of a number of its principal assumptions. We provide theoretical support for the empirical examination of at least three proxies for relative information: period of listing, number of curity returns obrvations available,
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