Empirical Estimates of Beta When Investors Face Estimation Risk
检验了信息差异模型的实证含义：信息较少的证券因参数估计不确定性而被视为风险更高。使用多个数据集证实，低信息公司的贝塔风险会随信息增加而下降，尤其在首次公开募股和首次上市后的初期以及首次年度盈利公告时风险骤降。
ABSTRACT We examine empirical implications of models of differential information that formalize the following intuition: securities for which there is relatively little information are perceived as relatively more risky because of the greater uncertainty surrounding the exact parameters of their return distributions. The implication that beta risk for low information firms should decline as information increases is confirmed with several data sets. We find such a decline over the first several periods subsequent to initial public offerings and initial listings. There is also an abrupt risk decline at the first annual earnings announcement.