Corporate information preference and stock return volatility

Hang Cai and Zhitao Xiong

Applied Economics Letters, 2025, vol. 32, issue 18, 2674-2683

Abstract: This paper models the effect of corporate information preference on stock return volatility based on optimization problems of information decisions for firms and investors. Our model hypothesizes a positive correlation between corporate information preference and volatility. Utilizing the ideal institutional background of the Chinese stock market, we empirically confirm that corporate information preference has a positive impact on volatility, particularly for firms facing more severe financial distress, limited investor attention, and less analyst coverage. Our study provides a new perspective for analyzing the interaction between information supply and asset price dynamics.

Date: 2025
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DOI: 10.1080/13504851.2024.2337331

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