Is Information Risk a Determinant of Asset Returns

By David A. Easley, Soeren Hvidkjaer, Maureen O’Hara. 2002

1,924 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/ef746847dada93d98b2ccb5b6e9e6f42934638ae

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Citations in the corpus

Market Pricing of Banks’ Fair Value Assets Reported under Sfas 157 During the 2008 Economic Crisis (2009, background): “This is so even through the law of iterated expectations implies that conditional expected utility is not affected by changes in the precision of future signals about consumption, as pointed out by Epstein and Schneider (2008). Thus, persistent mispricing might occur when there are ambiguity-averse ”
Information Uncertainty and Post-Earnings-Announcement-Drift (2007, neutral): “For example, Fama and French (1996) show that a combination of book-to-market and size overlaps with the cash flow-to-price and earnings-price anomalies.”
R2 and Idiosyncratic Risk are not Interchangeable (2014, methodology): “We compute the following proxies for the ﬁrm’s information environment: PIN scores, probability of informed trading (Easley, Hvidkjaer, and O’Hara 2002); SPREAD, bid-ask spread; DELAY, the price delay measure (Hou and Moskowitz 2005; Callen, Khan, and Lu 2013); ILLIQ, illiquidity measure (Amihud…”
Financial reporting quality and idiosyncratic return volatility (2011, background): “While INST and NANAL capture institutional ownership and analyst following, PIN refers to the probability of informed trading proposed by Easley et al. (2002).15 The PIN dataset covers all ordinary common stocks listed on NYSE and AMEX for the years 1983 − 2001.”
Earnings Management in Malaysian IPOs: The East Asian Crisis, Ownership Control and Post-IPO Performance (2011, background): “However, a competing explanation might be that it relates to IPO differential risk characteristics (such as information risk) that are being rationally priced in the market (Easley et al., 2002).”
Global Accounting Convergence and the Potential Adoption of IFRS by the United States: An Analysis of Economic and Policy Factors (2009, background): “First, there is the notion that investors require a higher return from less liquid securities, which is in essence a liquidity premium (e.g., Amihud and Mendelson, 1986; Chordia et al., 2000; Easley et al., 2002).”
Conference Calls and Information Asymmetry (2004, background): “This research question is important because prior research demonstrates that the level of information asymmetry is positively associated with the cost of equity capital (Easley et al., 2002).”
Company reputation and the cost of equity capital (2014, neutral): “Third, higher earnings quality lowers the cost of equity by reducing information asymmetry (Easley et al. 2002; Easley and O’Hara 2004; Francis et al. 2004, 2005; Lambert et al. 2007; Lambert and Verrecchia 2010; Barth et al. 2013).”
Internal Control Weakness and Cost of Equity: Evidence from SOX Section 404 Disclosures (2007, background): “In a companion paper (Easley et al. 2002b), they test their theory by showing that the probability of informed trading (PIN)—a measure of information asymmetry— increases in information risk.”