Model of Capital Asset Pricing with Asymmetric Information Structure
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F830.9

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    Abstract:

    A capital asset pricing model and the corresponding investment strategy are investigated for the financial market with asymmetric information structure. Suppose that investors can be defined with three kinds: informed trader, under-reaction trader and over-reaction trader; all traders use Bayesian principle to modify their prior distributions. The anthors obtain the equilibrium price of the risky asset in the short run and the rational investment strategy.

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李黎明,张荣,徐俊英.一类不对称信息结构下的资本资产定价模型[J].重庆大学学报,2005,28(5):152~155

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  • Received:
  • Revised:December 30,2004
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