A Model of Intertemporal Asset Prices Under Asymmetric Information
构建了一个信息不对称下的动态资产定价模型，发现不知情投资者会增加风险溢价，信息不对称会加剧价格波动和收益负自相关。
This paper presents a dynamic asset-pricing model under asymmetric information. Investors have different information concerning the future growth rate of dividends. They rationally extract information from prices as well as dividends and maximize their expected utility. The model has a closed-form solution to the rational expectations equilibrium. We find that existence of uninformed investors increases the risk premium. Supply shocks can affect the risk premium only under asymmetric information. Information asymmetry among investors can increase price volatility and negative autocorrelation in returns. Less-informed investors may rationally behave like price chasers.