دانلود مقاله ISI انگلیسی شماره 50334
عنوان فارسی مقاله

افق سرمایه گذاری و قیمت دارایی ها تحت اطلاعات نامتقارن

کد مقاله سال انتشار مقاله انگلیسی ترجمه فارسی تعداد کلمات
50334 2015 51 صفحه PDF سفارش دهید محاسبه نشده
خرید مقاله
پس از پرداخت، فوراً می توانید مقاله را دانلود فرمایید.
عنوان انگلیسی
Investment horizons and asset prices under asymmetric information ☆
منبع

Publisher : Elsevier - Science Direct (الزویر - ساینس دایرکت)

Journal : Journal of Economic Theory, Volume 158, Part B, July 2015, Pages 787–837

کلمات کلیدی
افق سرمایه گذاری - اطلاعات نامتقارن - قیمت دارایی ها
پیش نمایش مقاله
پیش نمایش مقاله افق سرمایه گذاری و قیمت دارایی ها تحت اطلاعات نامتقارن

چکیده انگلیسی

I study a financial market with a generalized overlapping generations structure. Investors live for an arbitrary number of periods, and are asymmetrically informed about future dividends of a risky asset. I compare pricing moments, and the informational content of prices, across economies with different investment horizons. Horizons affect prices through two key mechanisms: as horizons increase, the age-adjusted risk aversion of the average investor falls, and the risk transfer from forced liquidators into voluntary buyers drops. For long enough horizons, there exist two equilibria: a stable, low-volatility equilibrium in which longer horizons reduce price variability and raise average prices, and an unstable, high-volatility equilibrium with the opposite properties. Along the stable equilibrium, longer horizons reduce non-fundamental price volatility and incite more aggressive trading by the informed investors, which impounds their knowledge into prices. Longer horizons thus improve market efficiency, and reduce the uncertainty of the uninformed investors. Expected returns and return volatility are similar to an economy with full-information about fundamentals, even if the informed are relatively few. For short horizons, cautious trading disaggregates information from prices, and the economy approaches one with no private information.

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