Asset Pricing Model Under Information Asymmetry

Information asymmetry is when one of the two parties to a transaction has more information than the other.In the stock market,it is information that determines investors' trading behavior,and then determines the stock price.Therefore,information asymmetry will have an important impact on the stock market.In this paper,the study found that information asymmetry in the stock market mainly in the form of institutional investors and individual investors trade behavior difference,and then comparative analysis of China and the us stock market investors structure differences and present situation of information asymmetry,found in the stock market in China is more serious information asymmetry,so the asset pricing model under asymmetric information is of great significance to the development of China's stock market.This paper mainly adopts the research method of combining theory and demonstration.The theoretical part is mainly to sort out the literature and theories on the measurement method of information asymmetry and the research on asset pricing of information asymmetry.On this basis,the measurement model of information asymmetry,Volume-Synchronized Probability of Informed Trading model and Abnormal Idiosyncratic Volatility model used in this empirical study are proposed.The empirical part takes the stocks of China's Shanghai and Shenzhen Ashares and the US S&P 500 constituent stocks from January 2009 to December 2020 as the research objects,and uses VPIN and AIV as the information asymmetry measurement indexes to test the pricing power of information asymmetry risk.Firstly,the investment grouping method is used to test whether the information asymmetry variables represented by VPIN and AIV have pricing power through univariate and bivariate grouping.Secondly,through the estimation of the information asymmetry risk premium in the Chinese and American stock markets,this paper studies whether there is significant information asymmetry risk premium in the Chinese and American stock markets and compares the difference of information asymmetry risk premium in the Chinese and American stock markets.Finally,information asymmetry is added into the Fama-French three-factor model as a risk factor,and the asset pricing model under information asymmetry is established to test whether the new four-factor model has good pricing ability in the Chinese and American stock markets.The main research conclusions of this paper are as follows :(1)VPIN and AIV selected in this paper have passed the validity test and can be used to measure the risk of information asymmetry.(2)There are huge differences in investor structure and information asymmetry between Chinese and American stock markets,and the information asymmetry in Chinese stock market is more serious.(3)By comparing the information asymmetry risk premium between Chinese and American stock markets,it is found that the risk premium required by investors in Chinese stock market is higher,so there is serious information asymmetry in Chinese stock market compared with that in American stock market.(4)The asset pricing model under information asymmetry has good pricing power in both Chinese and American stock markets.