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Testing Asymmetric-Information Asset Pricing Models

Bryan Kelly and Alexander Ljungqvist.

in The Review of Financial Studies

May 2012; p ublished online January 2012 .

Journal Article. Subjects: Economics; Financial Forecasting and Simulation; Investment Banking. 22419 words.

We provide evidence for the importance of information asymmetry in asset pricing by using three natural experiments. Consistent with rational expectations models with multiple assets and...