Financial markets with trade on risk and return
K Smith - The Review of Financial Studies, 2019 - academic.oup.com
In this paper, I develop a model in which risk-averse investors possess private information
regarding both a stock's expected payoff and its risk. These investors trade in the stock and a …
regarding both a stock's expected payoff and its risk. These investors trade in the stock and a …
[PDF][PDF] Asymmetric Risk Information and Derivative Markets
K Smith - 2017 - jacobslevycenter.wharton.upenn …
In this paper, we develop a model in which investors possess private information on both the
expected level of a stock's payoffs and their risk. These investors may trade in both the stock …
expected level of a stock's payoffs and their risk. These investors may trade in both the stock …