Is information risk priced? Evidence from abnormal idiosyncratic volatility

• 成果类型: Article
• 署名作者: Yang, Yung Chiang; Zhang, Bohui; Zhang, Chu
• 署名单位: University College Dublin; The Chinese University of Hong Kong, Shenzhen; Hong Kong University of Science & Technology
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.06.013
• 发表日期: 2020
• 页码: 528-554
• 关键词: Information risk; idiosyncratic volatility; Earnings announcement; Expected returns

摘要

We propose a new, price-based measure of information risk called abnormal idiosyncratic volatility (AIV) that captures information asymmetry faced by uninformed investors. AIV is the idiosyncratic volatility prior to information events in excess of normal levels. Using earnings announcements as information events, we show that AIV is positively associated with informed return run-ups, abnormal insider trading, short selling, and institutional trading during pre -earnings-announcement periods. We find that stocks with high AIV earn economically and statistically larger future returns than stocks with low AIV. Taken together, our findings support the notion that information risk is priced. (C) 2019 Elsevier B.V. All rights reserved.