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How Does Information Quality Affect Stock Returns?
Open accessAbstract
Using a simple dynamic asset pricing model, this paper investigates the relationship between the precision of public information about economic growth and stock market returns. After fully characterizing expected returns and conditional volatility, I show that (i) higher precision of signals tends to increase the risk premium, (ii) when signals are imprecise the equity premium is bounded above independently of investors' risk aversion, (iii) return volatility is U‐shaped with respect to investors' risk aversion, and (iv) the relationship between conditional expected returns and conditional variance is ambiguous.
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Citations
Cited by
Ambiguity, Information Quality, and Asset Pricing
EPSTEIN, L. G., & SCHNEIDER, M. (2008) · The Journal of Finance · doi:10.1111/j.1540-6261.2008.01314.x · Cited by 833
PÁSTOR, Ľ., & VERONESI, P. (2005) · The Journal of Finance · doi:10.1111/j.1540-6261.2005.00778.x · Cited by 420
Self-citationAmbiguity, Learning, and Asset Returns
(2012) · Econometrica · doi:10.3982/ecta7618 · Cited by 404
Model Uncertainty and Option Markets with Heterogeneous Beliefs
BURASCHI, A., & JILTSOV, A. (2006) · The Journal of Finance · doi:10.1111/j.1540-6261.2006.01006.x · Cited by 346
Metadata
- Authors
- Veronesi, P.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2000-04
- Volume
- 55
- Issue
- 2
- Pages
- 807-837
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123986693
- Cited by
- 387
- References
- 0
- FWCI
- 15.46
- Type
- journal article
- Language
- en
- Open access
- green
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- Veronesi, P. (2000). How Does Information Quality Affect Stock Returns? The Journal of Finance. https://doi.org/10.1111/0022-1082.00227
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
