Is information risk a determinant of asset returns?

• 成果类型: Article
• 署名作者: Easley, D; Hvidkjaer, S; O'Hara, M
• 署名单位: Cornell University; University System of Maryland; University of Maryland College Park; Cornell University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00493
• 发表日期: 2002
• 页码: 2185-2221
• 关键词: differential information; Market microstructure; cross-section; STOCK; equilibrium; size; liquidity; Dividends; prices; taxes

摘要

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, we derive a measure of the probability of information-based trading, and we estimate this measure using data for individual NYSE-listed stocks for 1983 to 1998. We then incorporate our estimates into a Fama and French (1992) asset-pricing framework. Our main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information-based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year.