Private information in financial markets: a study of the risk premium in a general framework.

Summary The problem of this thesis is to study the information risk premium in financial markets, from a theoretical, empirical and practical point of view. Theoretically, this thesis introduces a new rational expectations equilibrium model for valuing financial assets in an asymmetric information environment. This model allows to study the information risk premium in a very general framework, taking into account several securities and several sources of correlation between them. The specification of the model allows us to formulate many theoretical conclusions, new in the literature, as well as empirically testable hypotheses. The model has multiple applications. For example, the model can be used to explain numerous "anomalies" in the markets as well as phenomena in international finance. The objective of the empirical study is to test the presence of an informational factor on the financial markets and to analyze the weight of this factor. The informational factor is approached by a new measure of informational asymmetry directly based on rational expectations models with informational asymmetry. We analyze the impact of the informational factor on the profitability of securities in order to highlight the existence of an information risk premium. A second study examines the performance of equity mutual funds and their degree of specialization, as a function of the degree of informational asymmetry of the stocks that compose them. The empirical results corroborate the implications of the theoretical model.