Securities Markets in Which Some Investors Receive Information About Cash Flow Betas

• 成果类型: Article
• 署名作者: Huang, Shiyang; Schneemeier, Jan; Subrahmanyam, Avanidhar; Yang, Liyan
• 署名单位: University of Hong Kong; Michigan State University; Michigan State University's Broad College of Business; University of California System; University of California Los Angeles; University of Toronto
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2022.02061
• 发表日期: 2025
• 页码: 6155-6183
• 关键词: beta information; Price impact; liquidity risk; asset prices

摘要

We analyze a single-factor setting in which there is private information regarding cash flows as well as their betas. Private information about betas, together with market makers' risk aversion and mean betas' nonnegativity, implies a nonlinear price schedule whose stochastic slope covaries positively with order flow when the expected factor payoff is positive and vice versa. We predict a negative relation between the covariance and expected returns and an attenuation of the beta anomaly in asset returns after accounting for this relation. Empirical tests confirm these predictions.