Differential Information and Security Market Equilibrium
提出一个简单模型，说明投资者对证券收益参数的信息量差异会影响市场均衡，信息较少的证券在合理度量下系统风险更高，并支持用上市时间、数据量和分析师分歧作为信息代理变量。
We propose a simple model of equilibrium asset pricing in which there are differences in the amounts of information available for developing inferences about the returns parameters of alternative securities. In contrast with earlier work, we show that parameter uncertainty, or estimation risk, can have an effect upon market equilibrium. Under reasonable conditions, securities for which there is relatively little information are shown to have relatively higher systematic risk when that risk is properly measured, ceteris paribus. The initially very limited model is shown to be robust with respect to relaxation of a number of its principal assumptions. We provide theoretical support for the empirical examination of at least three proxies for relative information: period of listing, number of security returns observations available, and divergence of analyst opinion.