Is information risk a determinant of asset returns?

被引:775
作者
Easley, D [1 ]
Hvidkjaer, S
O'Hara, M
机构
[1] Cornell Univ, Ithaca, NY 14853 USA
[2] Univ Maryland, College Pk, MD 20742 USA
[3] Cornell Univ, Ithaca, NY 14853 USA
关键词
D O I
10.1111/1540-6261.00493
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
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.
引用
收藏
页码:2185 / 2221
页数:37
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