Information Choice, Uncertainty, and Expected Returns

• 成果类型: Article
• 署名作者: Cao, Charles; Gempesaw, David; Simin, Timothy T.
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Pennsylvania State University; Pennsylvania State University - University Park; University System of Ohio; Miami University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhaa146
• 发表日期: 2021
• 页码: 5977
• 关键词: cross-section; portfolio choice; Price volatility; stock returns; attention; BEHAVIOR; RISK; allocation; earnings; equilibrium

摘要

We investigate how information choices affect equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a conditional asset pricing model, long-run patterns in returns and volatilities, other measures of information flow, and the information environment surrounding earnings announcements reinforce our interpretation of the learning index. Our findings support the model's predictions and illustrate a novel empirical measure of investor learning.