Is Information Risk A Determinant of Asset returns?  

Oleh:

Hvidkjaer, Soeren ; Easley, David ; Maureen, O'Hara

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 57 no. 5 (2002), page 2185-2222.
Topik: risks; studies; expected returns; securities trading; correlation analysis; risk
Fulltext: p 2185.pdf (511.93KB)

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

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Isi artikel

We investigate the role of information - based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, a measure is derived of the probability of information - based trading, and this measure is estimated using data for individual NYSE - isted stocks for 1983 - 1998. The paper then incorporates the estimates into a Fama and French (1992) asset - pricing framework. The main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information - based trading between 2 stocks leads to a difference in their expected returns of 2.5 percent per year.

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