Information Choice, Uncertainty, and Expected Returns
研究了信息选择如何影响股票收益和风险，构建学习指数衡量投资者学习某资产的预期收益，发现高学习指数股票未来收益和风险更低，并用多种分析验证了该指数的解释力。
Abstract We investigate how information choices affect equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a conditional asset pricing model, long-run patterns in returns and volatilities, other measures of information flow, and the information environment surrounding earnings announcements reinforce our interpretation of the learning index. Our findings support the model’s predictions and illustrate a novel empirical measure of investor learning.