The present study first investigates the asymmetry of speedup - delay (gain and loss) and Sign Effect in Tehran Stock Exchange, then examine the effect of gender on the discount rate and explain it with the loss aversion. The sample is 403 investors in Tehran Stock Exchange, and the nonparametric Tests are used to test the research hypotheses. The research results show that there is an asymmetr...

In contrast to most other countries, Chinese foreign class B shares trade at an average discount of about 60 percent to the prices at which domestic A shares trade. We argue that one reason for the large price discount of B shares is because foreign investors have less information on Chinese stocks than domestic investors. We develop a model, incorporating both informational asymmetry and marke...

We examine the role of earnings management in explaining the properties of asset prices and stock market participation. We demonstrate that investors’ uncertainty about the extent of manipulation can cause excess movements in stock price relative to fluctuations in output. When faced with information asymmetry about fundamentals in the presence of earnings management, investors demand a higher ...

This study consists introductory survey and three essays where investors’ trading responses to interim earnings announcements are studied using Finnish data. The essays are individual papers, but their topics are closely connected since they address the trading response from different angles. The essays progress from an aggregated to a more detailed examination. The first essay was conducted on...

this paper studies the effect of considering time varying skewness and kurtosis on the estimation of value at risk (var) for both long and short positions using the hyaparch model and daily data for tehran stock exchange price index (tepix). our results show that applying conditional distributions with time varying or constant skewness and degrees of freedom is able to capture the asymmetry app...

This paper examines when information asymmetry among investors affects the cost of capital in excess of standard risk factors. When equity markets are perfectly competitive, information asymmetry has no separate effect on the cost of capital. When markets are imperfect, information asymmetry can have a separate effect on firms’ cost of capital. Consistent with our prediction, we find that infor...

We examine the value consequences of corporate social responsibility through the lens of institutional shareholders. We find a sharp asymmetry between corporate policies that mitigate the firm’s exposure to environmental risk and those that enhance its perceived environmental friendliness (“greenness”). Institutional investors shun stocks with high environmental risk exposure, which we show hav...

TAbstract T—This paper develops a tractable real options framework to analyze the effects of asymmetric information on firms' investment decisions when firms issue equity to finance investment. We assume that firm insiders exactly know the firms' growth prospects, but outside investors do not know. Our analysis shows that, under equity financing, the corporate insiders can signal their private ...

This paper addresses how asymmetric information, fads and Lévy jumps in the price of an asset affect the optimal portfolio strategies and maximum expected utilities of two distinct classes of rational investors in a financial market. We obtain the investors’ optimal portfolios and maximum expected logarithmic utilities and show that the optimal portfolio of each investor is more or less than it...