Research on asset chain pricing under asymmetric information


Authors

  • To Minh Huong Thuyloi University
DOI: https://doi.org/10.57110/vnujeb.v3i4.169

Keywords:

Asymmetric information, asset chain, equilibrium price

Abstract

This paper investigates the asset pricing problem in the context of asymmetric information, focusing on the asset chain, and derives an expression for equilibrium asset prices. The findings of this study contribute to our understanding of how information asymmetry affects asset prices and can be used to inform investment decisions in markets with asymmetric information. Future research could explore the implications of these results for other types of assets or for different market conditions. Moreover, policymakers and regulators could also use these findings to design better disclosure requirements and improve market transparency, which could ultimately benefit investors and promote market efficiency. It is essential to continue investigating the impact of information asymmetry on asset prices to develop a more comprehensive understanding of financial markets. Using this equilibrium price expression, the author demonstrates that asset chain-based pricing can help mitigate the volatility of the equilibrium price. This finding could have significant implications for investors and policymakers seeking to stabilize asset prices in volatile markets. Further research could also investigate the practical applications of this pricing model in real-world investment scenarios. The study sheds light on the role of asymmetric information in asset pricing and highlights the potential benefits of asset chain-based pricing.

References

Black, F. (1972). Capital market equilibrium with restricted borrowing. The Journal of Business, 45(3), 444-455. https://doi.org/10.1086/295472

Black, F., & Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy, 81(3), 637-654. https://doi.org/10.1086/260062

Breeden, D. T. (1979). An intertemporal asset pricing model with stochastic consumption and investment opportunities. Journal of Financial Economics, 7(3), 265-296. https://doi.org/10.1016/0304-405X(79)90016-3

Brennan, M. J. (1971). Capital market equilibrium with divergent borrowing and lending rates. Journal of Financial and Quantitative Analysis, 6(5), 1197-1205.

Cochrane, J. H. (2005). Financial markets and the real economy. Foundations and Trends® in Finance, 1(1), 1-101. https://doi.org/10.3386/w11193

Friend, I., Landskroner, Y., & Losq, E. (1976). The demand for risky assets under uncertain inflation. The Journal of Finance, 31(5), 1287-1297.

Grossman, S. J., & Stiglitz, J. E. (1980). On the impossibility of informationally efficient markets. The American Economic Review, 70(3), 393-408.

Lintner, J. (1975). The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. In Stochastic optimization models in finance (pp. 131-155). Elsevier.

Merton, R. C. (1987). In honor of Nobel Laureate, Franco Modigliani. Journal of Economic Perspectives, 1(2), 145-155. https://doi.org/10.1257/jep.1.2.145

Mossin, J. (1966). Equilibrium in a capital asset market. Econometrica: Journal of the Econometric Society, 34(4), 768-783. https://doi.org/10.2307/1910098

Ross, S. A. (2013). The arbitrage theory of capital asset pricing. In Handbook of the Fundamentals of Financial Decision Making: Part I (pp. 11-30). World Scientific.

Downloads

Download data is not yet available.

Downloads

Published

25-08-2023

Abstract View

192

PDF Downloaded

20

How to Cite

To Minh Huong. (2023). Research on asset chain pricing under asymmetric information. VNU University of Economics and Business, 3(4), 24. https://doi.org/10.57110/vnujeb.v3i4.169

Issue

Vol. 3 No. 4

Section

Original Articles

License

Copyright (c) 2023 To Minh Huong

Creative Commons License

This work is licensed under a Creative Commons Attribution-NonCommercial 4.0 International License.

by VNU Journal of Economics and Business