Is information risk a determinant of asset returns?
Is information risk a determinant of asset returns?
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DOI：
10.1111/1540-6261.00493
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发表时间：
2002-10-01
影响因子：
8
通讯作者：
O'Hara, M
中科院分区：
文献类型：
--
作者：
Easley, D;Hvidkjaer, S;O'Hara, M
我们研究基于信息的交易在影响资产收益方面的作用。我们在一个理性预期的例子中展示了私人信息如何影响均衡资产收益。利用一个市场微观结构模型，我们推导出一种基于信息的交易概率的度量方法，并使用1983年至1998年在纽约证券交易所上市的单个股票的数据来估计这一度量。然后我们将我们的估计值纳入法玛和弗伦奇（1992）的资产定价框架。我们的主要结果是信息确实会影响资产价格。两只股票之间基于信息的交易概率相差10个百分点，会导致它们每年的预期收益相差2.5%。
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.