000			02011nab a2200217 a 4500
999			_c199724 _d199724
003			OSt
005			20200226102100.0
008			200206s2015 xxu|||||r|||| 00| 0 eng d
040			_aCO-BoUGC _cCO-BoUGC
100	1		_aCaskey, Judson _9179013
245	1	0	_aStrategic informed trades, diversification and expected returns _cJudson Caskey, John S. Hughes & Jun Liu
300			_aPáginas 1811 a la 1837
520	3		_aWe examine how strategic trade affects expected returns in a large economy. In our model, both a monopolist (strategic) informed trader and uninformed traders consider the impact of their demands on prices. In contrast to settings with price-taking traders, private information never eliminates a priced risk, and can lead to higher risk premiums. Also unlike settings with price-taking informed traders, risk premiums decrease in response to an increase in liquidity-motivated trades in diversified portfolios. These differing effects arise because a privately informed strategic trader conceals her trades by taking small positions relative to the magnitude of noise trades. Although prices partially reveal her information and reduce uncertainty, a concomitant decrease in her risk absorption dominates and leads to higher risk premiums. Similar to settings with price-taking traders, private information affects expected returns only via factor loadings and risk premiums on existing payoff risks—it introduces no new priced risks, and factor loadings (betas) explain all cross-sectional differences in expected returns.
650	1	4	_991036 _aContabilidad _vPublicaciones seriadas
650	2	4	_9176576 _aTasa de retorno _vPublicaciones seriadas
650	2	4	_aDiversificación en la industria _vPublicaciones seriadas _9179014
700	1		_aHughes, John S. _9179015
700	1		_aLiu, Jun _9179016
773	0		_082265 _9369792 _aThe accounting review 2015 V.90 No. 5 (Sep) _o0000002029959 _x0001-4826 (papel) _h27 páginas _nIncluye referencias bibliográficas y apéndices
942			_2ddc _cART