Asset prices with investor protection and past information

In this paper, we consider a dynamic asset pricing model in an approximate fractional economy to address empirical regularities related both investor protection and past information. Our newly developed features not only controlling shareholder who diverts fraction of the output, but also good (or bad) memory his budget dynamics which can be well-calibrated by pathwise way from historical data. We find that poorer leads higher stock holdings shareholder, lower gross returns, interest rates, modified volatilities if ownership concentration is sufficiently high. More importantly, establishing approximation scheme for (bad) investors on market information, conclude would increase (decrease) aforementioned reveal strengthens (weakens) minority when high, while inversely weakens (strengthens) low. model's implications are consistent with number interesting facts documented recent literature.