Information Quality, Learning, and Stock Market Returns
研究投资者收到的关于预期股息增长率的公共信息精度如何影响股票市场回报，发现信息精度越低，风险溢价和回报波动性越高，这有助于解释美国金融市场的高风险溢价和波动性。
Abstract This paper studies how the precision of noisy public information that investors receive about the expected aggregate dividend growth rate affects stock market returns. I show that less precise information can increase the risk premium and stock return volatility. The numerical results from my calibrated model also show that noisy information can significantly increase the risk premium and stock return volatility. My finding implies that the presence of noisy information may help explain the large average risk premium and return volatility in the U.S. financial market. In addition, my finding suggests it is optimal for firms to disclose to investors more precise information to reduce the cost of equity capital.