Is PIN priced risk?

• 成果类型: Article
• 署名作者: Mohanram, Partha; Rajgopal, Shiva
• 署名单位: University of Washington; University of Washington Seattle; Columbia University
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2008.10.001
• 发表日期: 2009
• 关键词: efficient capital-markets; cross-sectional variation; ASSET PRICING MODEL; information asymmetry; stock returns; EARNINGS FORECASTS; Expected returns; Accruals quality; cost; tests

摘要

Several recent papers assume that private information (PIN), proposed by Easley et al. [2002. Is information risk a determinant of asset returns? journal of Finance 57, 2185-2221; 2004. Factoring information into returns. Working Paper, Cornell University], is a determinant of stock returns. We replicate Easley et al. (2002) and show that while PIN does predict future returns in the sample they analyze, the effect is not robust to alternative specifications and time periods. There is no evidence that PIN factor loadings predict returns or that PIN factor returns reflect future GDP growth. PIN exhibits no association with implied cost of capital derived from analysts' earnings forecasts. Overall, our findings cast doubt on whether PIN reflects information risk systematically priced by investors.(C) 2008 Elsevier B.V. All rights reserved.