Information Consumption and Asset Pricing
研究发现，在公司和宏观经济公告引发信息溢出时，受影响股票获得显著回报溢价（年化5%），且资本资产定价模型表现更好；预期信息消费（EIC）调节了美联储公开市场委员会公告对个股风险溢价的影响。
ABSTRACT We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information spillovers, affected stocks earn a significant return premium (5% annualized) and the capital asset pricing model performs better. The positive effect of the Federal Reserve Open Market Committee announcements on the risk premia of individual stocks appears to be modulated by EIC. Our findings are most consistent with a risk‐based explanation.