How Does Information Quality Affect Stock Returns?
用一个动态资产定价模型，研究经济增长公共信息的精确度如何影响股票市场回报，发现信号越精确风险溢价越高，信号不精确时股权溢价有上限，且回报波动率与投资者风险厌恶呈U型关系。
Using a simple dynamic asset pricing model, this paper investigates the relationship between the precision of public information about economic growth and stock market returns. After fully characterizing expected returns and conditional volatility, I show that (i) higher precision of signals tends to increase the risk premium, (ii) when signals are imprecise the equity premium is bounded above independently of investors' risk aversion, (iii) return volatility is U‐shaped with respect to investors' risk aversion, and (iv) the relationship between conditional expected returns and conditional variance is ambiguous.