Is Information Risk a Determinant of Asset Returns?
研究基于信息的交易如何影响资产收益，利用1983至1998年纽交所个股数据估计信息交易概率，发现信息交易概率相差10个百分点的两只股票预期年收益相差2.5%。
ABSTRACT We investigate the role of information‐based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrium asset returns. Using a market microstructure model, we derive a measure of the probability of information‐based trading, and we estimate this measure using data for individual NYSE‐listed stocks for 1983 to 1998. We then incorporate our estimates into a Fama and French (1992) asset‐pricing framework. Our main result is that information does affect asset prices. A difference of 10 percentage points in the probability of information‐based trading between two stocks leads to a difference in their expected returns of 2.5 percent per year.