The macroeconomic announcement premium and information environment
研究发现信息环境质量影响宏观经济公告日的市场风险溢价和预期风险降低，信息环境差时风险溢价和预期风险降低都较低，且这些效应与商业周期相关。
The quality of information environment has impact on the market risk premium and the expected risk reduction on macroeconomic announcement days. The risk premium is high when the risk is high as in standard asset pricing models, while the risk premium is low when the prevailing information environment is poor. The same is true for the expected risk reduction. These effects extend to market factor premiums (i.e., the premium associated with market betas) on various sets of portfolios and have a connection with business cycles. The findings are consistent with the notion that poor information environment hampers the effectiveness of learning.