Information Consumption and Asset Pricing

• 成果类型: Article
• 署名作者: Ben-Rephael, Azi; Carlin, Bruce I.; Da, Zhi; Israelsen, Ryan D.
• 署名单位: Rutgers University System; Rutgers University Newark; Rutgers University New Brunswick; Rice University; University of Notre Dame; Michigan State University; Michigan State University's Broad College of Business
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.12975
• 发表日期: 2021
• 页码: 357-394
• 关键词: earnings; underreaction; industries; events; search; RISK

摘要

We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information spillovers, affected stocks earn a significant return premium (5% annualized) and the capital asset pricing model performs better. The positive effect of the Federal Reserve Open Market Committee announcements on the risk premia of individual stocks appears to be modulated by EIC. Our findings are most consistent with a risk-based explanation.