Information Quality and Stock Returns Revisited
Frode Brevik and
d’Addona, Stefano
Authors registered in the RePEc Author Service: Stefano d'Addona
Journal of Financial and Quantitative Analysis, 2010, vol. 45, issue 6, 1419-1446
Abstract:
This paper investigates the relation between information on the state of the economy and equity risk premium. We use a setup where investors have Epstein-Zin preferences and the economy randomly switches between booms and recessions. We are able to establish 2 key results: First, investors with high elasticity of intertemporal substitution (EIS) will require lower excess returns for holding stocks if they are provided with better information on the state of the economy. Second, we find that this also holds for investors with moderate EIS if they are sufficiently risk averse.
Date: 2010
References: Add references at CitEc
Citations: View citations in EconPapers (2)
Downloads: (external link)
https://www.cambridge.org/core/product/identifier/ ... type/journal_article link to article abstract page (text/html)
Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:cup:jfinqa:v:45:y:2011:i:06:p:1419-1446_00
Access Statistics for this article
More articles in Journal of Financial and Quantitative Analysis from Cambridge University Press Cambridge University Press, UPH, Shaftesbury Road, Cambridge CB2 8BS UK.
Bibliographic data for series maintained by Kirk Stebbing ().