Information Quality and Stock Returns Revisited
研究了经济状态信息如何影响股票风险溢价，发现高跨期替代弹性或适度弹性且风险厌恶的投资者在信息更优时要求更低超额回报。
Abstract This paper investigates the relation between information on the state of the economy and equity risk premium. We use a setup where investors have Epstein-Zin preferences and the economy randomly switches between booms and recessions. We are able to establish 2 key results: First, investors with high elasticity of intertemporal substitution (EIS) will require lower excess returns for holding stocks if they are provided with better information on the state of the economy. Second, we find that this also holds for investors with moderate EIS if they are sufficiently risk averse.