Information Consumption and Asset Pricing

Azi Ben-Rephael, Bruce I. Carlin, Zhi Da, Ryan D. Israelsen

Research output: Contribution to journalArticlepeer-review

3 Scopus citations

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.

Original languageEnglish (US)
Pages (from-to)357-394
Number of pages38
JournalJournal of Finance
Volume76
Issue number1
DOIs
StatePublished - Feb 2021

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics

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