Identifying Price Informativeness

• 成果类型: Article; Early Access
• 署名作者: Davila, Eduardo; Parlatore, Cecilia
• 署名单位: Yale University; National Bureau of Economic Research; New York University; Center for Economic & Policy Research (CEPR)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaf051
• 发表日期: 2025
• 关键词: financial-markets; expectations; aggregation; RISK

摘要

We identify and estimate price informativeness, a necessary step in testing theories of information aggregation. Starting from a pricing equation and a stochastic process for payoffs, we show how to recover relative price informativeness from regressions of asset price changes on changes in payoffs. Applying our identification results, we estimate a panel of stock-specific measures of informativeness for U.S. stocks. In the cross-section, large stocks with high turnover, idiosyncratic volatility, institutional ownership, and analyst coverage have higher informativeness. In the time series, the median, mean, and standard deviation of the distribution of informativeness have steadily increased since the mid-1980s.