Price informativeness and investment sensitivity to stock price

被引：688

作者：

Chen, Qi

Goldstein, Itay

Jiang, Wei

机构：

[1] Univ Penn, Wharton Sch, Philadelphia, PA 19104 USA

[2] Duke Univ, Fuqua Sch Business, Durham, NC 27706 USA

来源：

REVIEW OF FINANCIAL STUDIES | 2007年 / 20卷 / 03期

关键词：

D O I：

10.1093/rfs/hhl024

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The article shows that two measures of the amount of private information in stock price-price nonsynchronicity and probability of informed trading (PIN)-have a strong positive effect on the sensitivity of corporate investment to stock price. Moreover, the effect is robust to the inclusion of controls for managerial information and for other information-related variables. The results suggest that firm managers learn from the private information in stock price about their own firms' fundamentals and incorporate this information in the corporate investment decisions. We relate our findings to an alternative explanation for the investment-to-price sensitivity, namely that it is generated by capital constraints, and show that both the learning channel and the alternative channel contribute to this sensitivity.

引用

页码：619 / 650

页数：32

共 59 条

[21] Is information risk a determinant of asset returns? [J].