How Does Information Quality Affect Stock Returns ?  

Oleh:

Veronesi, Pietro

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 55 no. 2 (2000), page 807-838.
Topik: stock returns; securities markets; information; economic growth; stock prices; mathematical models; studies
Fulltext: p 807.pdf (306.8KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88.1 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

Using a simple dynamic asset pricing model, this paper investigates the relationship between the precision of public information about economic growth and stock market returns. After fully characterizing expected returns and conditional volatility, I show that : i. higher precision of signals tends to increase the risk premium, ii. when signals are imprecise the equity premium is bounded above independently of investors' risk aversion iii. return volatility is U - shaped with respect to investors' risk aversion, and iv. the relationship between conditional expected returns and conditional variace is ambiguous

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