메뉴 건너뛰기




Volumn 17, Issue 3, 2004, Pages 643-665

Adverse selection and the required return

Author keywords

[No Author keywords available]

Indexed keywords


EID: 4344650886     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhg032     Document Type: Article
Times cited : (42)

References (35)
  • 1
    • 0001641216 scopus 로고
    • A noisy rational expectations equilibrium for multi-asset securities markets
    • Admati, A. R., 1985, "A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets," Econometrica, 53, 629-657.
    • (1985) Econometrica , vol.53 , pp. 629-657
    • Admati, A.R.1
  • 2
    • 85005305538 scopus 로고
    • The market for "lemons": Qualitative uncertainty and market mechanism
    • Akerlof, G. A., 1970, "The Market for "Lemons": Qualitative Uncertainty and Market Mechanism," Quarterly Journal of Economics, 84, 488-500.
    • (1970) Quarterly Journal of Economics , vol.84 , pp. 488-500
    • Akerlof, G.A.1
  • 4
    • 0002526466 scopus 로고
    • Liquidity and asset pricing: Financial management implications
    • Amihud, Y., and H. Mendelson, 1988, "Liquidity and Asset Pricing: Financial Management Implications," Financial Management, 17, 5-15.
    • (1988) Financial Management , vol.17 , pp. 5-15
    • Amihud, Y.1    Mendelson, H.2
  • 5
    • 84977727165 scopus 로고
    • The effect of beta, bid-ask spread, residual risk, and size on stock returns
    • Amihud, Y., and H. Mendelson, 1989, "The Effect of Beta, Bid-Ask Spread, Residual Risk, and Size on Stock Returns," Journal of Finance, 44, 479-486.
    • (1989) Journal of Finance , vol.44 , pp. 479-486
    • Amihud, Y.1    Mendelson, H.2
  • 6
    • 0000529094 scopus 로고
    • Insider trading in a rational expectations economy
    • Ausubel, L. M., 1990, "Insider Trading in a Rational Expectations Economy," American Economic Review, 80, 1022-1041.
    • (1990) American Economic Review , vol.80 , pp. 1022-1041
    • Ausubel, L.M.1
  • 8
    • 0032042128 scopus 로고    scopus 로고
    • The effects of transaction costs on stock prices and trading volume
    • Barclay, M. J., E. Kandel, and L. M. Marx, 1998, "The Effects of Transaction Costs on Stock Prices and Trading Volume," Journal of Financial Intermediation, 7, 130-150.
    • (1998) Journal of Financial Intermediation , vol.7 , pp. 130-150
    • Barclay, M.J.1    Kandel, E.2    Marx, L.M.3
  • 9
    • 0001655001 scopus 로고    scopus 로고
    • An empirical examination of the amortized spread
    • Chalmers, J. M., and G. B. Kadlec, 1998, "An Empirical Examination of the Amortized Spread," Journal of Financial Economics, 48, 159-188.
    • (1998) Journal of Financial Economics , vol.48 , pp. 159-188
    • Chalmers, J.M.1    Kadlec, G.B.2
  • 10
    • 0042149394 scopus 로고    scopus 로고
    • Expected return and the bid-ask spread
    • K. S. S. Saitou, and K. Kubota (eds.), Gakujutsu Shuppan Center, Osaka
    • Chen, N. F., and R. Kan, 1996, "Expected Return and the Bid-Ask Spread," in K. S. S. Saitou, and K. Kubota (eds.), Modern Portfolio Theory and Applications, Gakujutsu Shuppan Center, Osaka.
    • (1996) Modern Portfolio Theory and Applications
    • Chen, N.F.1    Kan, R.2
  • 11
    • 84936823769 scopus 로고
    • Capital market equilibrium with transaction costs
    • Constantinides, G. M., 1986, "Capital Market Equilibrium with Transaction Costs," Journal of Political Economy, 94, 842-862.
    • (1986) Journal of Political Economy , vol.94 , pp. 842-862
    • Constantinides, G.M.1
  • 12
    • 84884023513 scopus 로고    scopus 로고
    • The pooling and tranching of securities
    • Stanford University
    • DeMarzo, P., 2000, "The Pooling and Tranching of Securities," working paper, Stanford University.
    • (2000) Working Paper
    • Demarzo, P.1
  • 13
    • 0002550734 scopus 로고    scopus 로고
    • A liquidity based model of security design
    • DeMarzo, P., and D. Duffie, 1999, "A Liquidity Based Model of Security Design," Econometrica, 67, 65-99.
    • (1999) Econometrica , vol.67 , pp. 65-99
    • Demarzo, P.1    Duffie, D.2
  • 14
    • 0000147060 scopus 로고
    • Information aggregation in a noisy rational expectations economy
    • Diamond, D. W., and R. E. Verrecchia, 1981, "Information Aggregation in a Noisy Rational Expectations Economy," Journal of Financial Economics, 9, 221-235.
    • (1981) Journal of Financial Economics , vol.9 , pp. 221-235
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 15
    • 84942585214 scopus 로고
    • Disclosure, liquidity, and the cost of capital
    • Diamond, D. W., and R. E. Verrecchia, 1991, "Disclosure, Liquidity, and the Cost of Capital," Journal of Finance, 46, 1325-1359.
    • (1991) Journal of Finance , vol.46 , pp. 1325-1359
    • Diamond, D.W.1    Verrecchia, R.E.2
  • 16
    • 0003313336 scopus 로고    scopus 로고
    • Is information risk a determinant of asset returns?
    • Easley, D., S. Hvidkjær, and M. O'Hara, 2002, "Is Information Risk a Determinant of Asset Returns?," Journal of Finance, 57, 2185-2221.
    • (2002) Journal of Finance , vol.57 , pp. 2185-2221
    • Easley, D.1    Hvidkjær, S.2    O'Hara, M.3
  • 17
    • 0042149393 scopus 로고    scopus 로고
    • Information and the cost of capital
    • Cornell University
    • Easley, D., and M. O'Hara, 2000, "Information and the Cost of Capital," working paper, Cornell University.
    • (2000) Working Paper
    • Easley, D.1    O'Hara, M.2
  • 18
    • 1642379221 scopus 로고    scopus 로고
    • Endogenous liquidity in asset markets
    • Eisfeldt, A. L., 2004, "Endogenous Liquidity in Asset Markets, " Journal of Finance, 59, 1-30.
    • (2004) Journal of Finance , vol.59 , pp. 1-30
    • Eisfeldt, A.L.1
  • 19
    • 0040063451 scopus 로고    scopus 로고
    • Cost of transacting and expected returns in the nasdaq market
    • Eleswarapu, V. R., 1997, "Cost of Transacting and Expected Returns in the Nasdaq Market," Journal of Finance, 52, 2113-2127.
    • (1997) Journal of Finance , vol.52 , pp. 2113-2127
    • Eleswarapu, V.R.1
  • 20
    • 0011572323 scopus 로고
    • The seasonal behavior of liquidity premium in asset pricing
    • Eleswarapu, V. R., and M. R. Reinganum, 1993, "The Seasonal Behavior of Liquidity Premium in Asset Pricing," Journal of Financial Economics, 34, 373-386.
    • (1993) Journal of Financial Economics , vol.34 , pp. 373-386
    • Eleswarapu, V.R.1    Reinganum, M.R.2
  • 21
    • 0010733967 scopus 로고    scopus 로고
    • Market response to liquidity improvements: Evidence from exchange listings
    • Elyasiani, E., S. Hauser, and B. Lauterbach, 2000, "Market Response to Liquidity Improvements: Evidence from Exchange Listings," Financial Review, 41, 1-14.
    • (2000) Financial Review , vol.41 , pp. 1-14
    • Elyasiani, E.1    Hauser, S.2    Lauterbach, B.3
  • 22
    • 84862416363 scopus 로고    scopus 로고
    • Repeated auctions with endogenous selling
    • New York University
    • Gârleanu, N., and L. H. Pedersen, 1999, "Repeated Auctions with Endogenous Selling," working paper. New York University.
    • (1999) Working Paper
    • Gârleanu, N.1    Pedersen, L.H.2
  • 23
    • 0345401653 scopus 로고
    • Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
    • Glosten, L. R., and P. R. Milgrom, 1985, "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Journal of Financial Economics, 14, 71-100.
    • (1985) Journal of Financial Economics , vol.14 , pp. 71-100
    • Glosten, L.R.1    Milgrom, P.R.2
  • 24
    • 84944832265 scopus 로고
    • On the efficiency of competitive stock markets when traders have diverse information
    • Grossman, S. J., 1976, "On the Efficiency of Competitive Stock Markets When Traders have Diverse Information," Journal of Finance, 31, 573-585.
    • (1976) Journal of Finance , vol.31 , pp. 573-585
    • Grossman, S.J.1
  • 25
    • 0001969053 scopus 로고
    • Asset pricing and optimal portfolio choice in the presence of illiquid durable consumption goods
    • Grossman, S. J., and G. Laroque, 1990, "Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods," Econometrica, 58, 25-51.
    • (1990) Econometrica , vol.58 , pp. 25-51
    • Grossman, S.J.1    Laroque, G.2
  • 26
    • 0001188867 scopus 로고
    • On the impossibility of informationally efficient markets
    • Grossman, S. J., and J. E. Stiglitz, 1980, "On the Impossibility of Informationally Efficient Markets," American Economic Review, 70, 393-408.
    • (1980) American Economic Review , vol.70 , pp. 393-408
    • Grossman, S.J.1    Stiglitz, J.E.2
  • 27
    • 0000088496 scopus 로고
    • On the aggregation of information in competitive markets
    • Hellwig, M. F., 1980, "On the Aggregation of Information in Competitive Markets," Journal of Economic Theory, 22, 477-498.
    • (1980) Journal of Economic Theory , vol.22 , pp. 477-498
    • Hellwig, M.F.1
  • 28
    • 0000297945 scopus 로고    scopus 로고
    • Adverse selection in durable goods markets
    • Hendel, I., and A. Lizzeri, 1999, "Adverse Selection in Durable Goods Markets," American Economic Review, 89, 1097-1115.
    • (1999) American Economic Review , vol.89 , pp. 1097-1115
    • Hendel, I.1    Lizzeri, A.2
  • 29
    • 0000859303 scopus 로고
    • Continuous auctions and insider trading
    • Kyle, A. S., 1985, "Continuous Auctions and Insider Trading," Econometrica, 6, 1315-1335.
    • (1985) Econometrica , vol.6 , pp. 1315-1335
    • Kyle, A.S.1
  • 30
    • 0000140435 scopus 로고
    • Information asymmetries, financial structure, and financial intermediation
    • Leland, H. E., and D. H. Pyle, 1977, "Information Asymmetries, Financial Structure, and Financial Intermediation," Journal of Finance, 32, 371-387.
    • (1977) Journal of Finance , vol.32 , pp. 371-387
    • Leland, H.E.1    Pyle, D.H.2
  • 31
    • 48549110620 scopus 로고
    • Corporate financing and investment decisions when firms have information that investors do not have
    • Myers, S., and N. Majluf, 1984, "Corporate Financing and Investment Decisions When Firms have Information that Investors do not have," Journal of Financial Economics, 13, 187-222.
    • (1984) Journal of Financial Economics , vol.13 , pp. 187-222
    • Myers, S.1    Majluf, N.2
  • 32
    • 0032354194 scopus 로고    scopus 로고
    • Transaction costs and asset prices: A dynamic equilibrium model
    • Vayanos, D., 1998, "Transaction Costs and Asset Prices: A Dynamic Equilibrium Model," Review of Financial Studies, 11, 1-58.
    • (1998) Review of Financial Studies , vol.11 , pp. 1-58
    • Vayanos, D.1
  • 33
    • 0033478867 scopus 로고    scopus 로고
    • Equilibrium interest rate and liquidity premium with transaction costs
    • Vayanos, D., and J.-L. Vila, 1999, "Equilibrium Interest Rate and Liquidity Premium with Transaction Costs," Economic Theory, 13, 509-539.
    • (1999) Economic Theory , vol.13 , pp. 509-539
    • Vayanos, D.1    Vila, J.-L.2
  • 34
    • 84960614899 scopus 로고
    • A model of intertemporal asset prices under asymmetric information
    • Wang, J., 1993, "A Model of Intertemporal Asset Prices Under Asymmetric Information," Review of Economic Studies, 60, 249-282.
    • (1993) Review of Economic Studies , vol.60 , pp. 249-282
    • Wang, J.1
  • 35
    • 84937302781 scopus 로고
    • A model of competitive stock trading volume
    • Wang, J., 1994, "A Model of Competitive Stock Trading Volume," Journal of Political Economy, 102, 127-168.
    • (1994) Journal of Political Economy , vol.102 , pp. 127-168
    • Wang, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.