TY - JOUR
AU - Shapiro, Alexander
AB - This article analyzes a dynamic general equilibrium under a generalization of Merton’s (1987) investor recognition hypothesis. A class of informationally constrained investors is assumed to implement only a particular trading strategy. The model implies that, all else being equal, a risk premium on a less visible stock need not be higher than that on a more visible stock with a lower volatility—contrary to results derived in a static mean-variance setting. A consumption-based capital asset pricing model (CAPM) augmented by the generalized investor recognition hypothesis emerges as a viable contender for explaining the cross-sectional variation in unconditional expected equity returns.
TI - The Investor Recognition Hypothesis in a Dynamic General Equilibrium: Theory and Evidence
JF - The Review of Financial Studies
DO - 10.1093/rfs/15.1.97
DA - 2002-01-16
UR - https://www.deepdyve.com/lp/oxford-university-press/the-investor-recognition-hypothesis-in-a-dynamic-general-equilibrium-TBAh0CNcd0
SP - 97
EP - 141
VL - 15
IS - 1
DP - DeepDyve
ER -