Delegated trade and the pricing of public and private information

• 成果类型: Article
• 署名作者: Taylor, Daniel J.; Verrecchia, Robert E.
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2015.07.002
• 发表日期: 2015
• 关键词: financial-reporting quality; Disclosure quality; Accruals quality; cost; asymmetry; returns; diversification; equilibrium

摘要

We extend a standard, rational expectation model of trade to incorporate the possibility of individual investors delegating their trades to an informed financial intermediary. In the presence of delegated trade, we show that a firm's risk premium is a function of both the firm's exposure to a common risk factor and idiosyncratic characteristics of the firm's information environment. We show that even in a large economy, priced risks can manifest in the form of both idiosyncratic firm characteristics and common risk factors; as a consequence, factor-based asset pricing tests cannot rule out that a particular risk is priced. (C) 2015 Elsevier B.V. All rights reserved.