Is information risk a dterminant of asset returns ?

Deskripsi

We investigate the role of information-based trading in affecting asset returns. We show in a rational expectation example how private information affects equilibrum 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..Printed Journal