The DOI matches its Crossref record; 1 of the 1 references it cites were found in a registry or an index.
Is Information Risk a Determinant of Asset Returns?
Open accessAbstract
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.
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Citations
Cites
On the impossibility of informationally efficient markets
Stiglitz, J. E., & Grossman, S. J. (1980) · Columbia University · doi:10.7916/d8765r99 · Cited by 3,645
Cited by
Asset pricing with liquidity risk
ACHARYA, V, & PEDERSEN, L. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.06.007 · Cited by 2,773
Accounting Information, Disclosure, and the Cost of Capital
LAMBERT, R., LEUZ, C., & VERRECCHIA, R. E. (2007) · Journal of Accounting Research · doi:10.1111/j.1475-679x.2007.00238.x · Cited by 2,586
Costs of Equity and Earnings Attributes
Francis, J., LaFond, R., Olsson, P. M., & Schipper, K. (2004) · The Accounting Review · doi:10.2308/accr.2004.79.4.967 · Cited by 2,377
… and the Cross-Section of Expected Returns
Harvey, C. R., Liu, Y., & Zhu, H. (2016) · Review of Financial Studies · doi:10.1093/rfs/hhv059 · Cited by 2,119
Market Frictions, Price Delay, and the Cross-Section of Expected Returns
Hou, K., & Moskowitz, T. J. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi023 · Cited by 1,083
Metadata
- Authors
- Easley, D., Hvidkjaer, S., & O'Hara, M.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2002-10
- Volume
- 57
- Issue
- 5
- Pages
- 2185-2221
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3124304323
- Cited by
- 1,861
- References
- 1
- FWCI
- 86.34
- Type
- journal article
- Language
- en
- Open access
- green
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- Easley, D., Hvidkjaer, S., & O'Hara, M. (2002). Is Information Risk a Determinant of Asset Returns? The Journal of Finance. https://doi.org/10.1111/1540-6261.00493
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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.
