Equity issues and aggregate market returns under information asymmetry

DOI10.1080/14697688.2012.717178zbMath1280.91135OpenAlexW1968973023MaRDI QIDQ5746763

Bong-Soo Lee, Xiaoquan Jiang

Publication date: 8 February 2014

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2012.717178

zbMATH Keywords

predictabilityinformation asymmetrymarket returnequity issues

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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