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Title:Essays in Financial Economics
Author(s):Mahani, Reza Shahidzadeh
Doctoral Committee Chair(s):Bernhardt, Dan
Department / Program:Economics
Discipline:Economics
Degree Granting Institution:University of Illinois at Urbana-Champaign
Degree:Ph.D.
Genre:Dissertation
Subject(s):Economics, Finance
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).
Issue Date:2005
Type:Text
Language:English
Description:89 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 2005.
URI:http://hdl.handle.net/2142/85558
Other Identifier(s):(MiAaPQ)AAI3199079
Date Available in IDEALS:2015-09-25
Date Deposited:2005


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