Asymmetric information and stock return cross-autocorrelations

Dan Bernhardt; Reza S. Mahani

doi:10.1016/j.econlet.2006.12.004

Asymmetric information and stock return cross-autocorrelations

Research output: Contribution to journal › Article › peer-review

Abstract

Using an asset pricing model under asymmetric information, we show that asymmetric lead-lag patterns in stock returns cannot be solely explained by information asymmetry. Additional frictions are necessary to produce asymmetry in return cross-autocorrelations.

Original language	English (US)
Pages (from-to)	14-22
Number of pages	9
Journal	Economics Letters
Volume	96
Issue number	1
DOIs	https://doi.org/10.1016/j.econlet.2006.12.004
State	Published - Jul 2007

Keywords

Asset pricing
Asymmetric information
Frictions
Lead-lag
Micro-structure

ASJC Scopus subject areas

Finance
Economics and Econometrics

Online availability

10.1016/j.econlet.2006.12.004

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title = "Asymmetric information and stock return cross-autocorrelations",

abstract = "Using an asset pricing model under asymmetric information, we show that asymmetric lead-lag patterns in stock returns cannot be solely explained by information asymmetry. Additional frictions are necessary to produce asymmetry in return cross-autocorrelations.",

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author = "Dan Bernhardt and Mahani, {Reza S.}",

year = "2007",

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KW - Asymmetric information

KW - Frictions

KW - Lead-lag

KW - Micro-structure

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JO - Economics Letters

JF - Economics Letters

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Asymmetric information and stock return cross-autocorrelations

Abstract

Keywords

ASJC Scopus subject areas

Online availability

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