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• W3123986693 abstract "Using a simple dynamic asset pricing model, this paper investigates the relationship between the precision of public information about economic growth and stock market returns. After fully characterizing expected returns and conditional volatility, I show that (i) higher precision of signals tends to increase the risk premium, (ii) when signals are imprecise the equity premium is bounded above independently of investors' risk aversion, (iii) return volatility is U-shaped with respect to investors' risk aversion, and (iv) the relationship between conditional expected returns and conditional variance is ambiguous." @default.
• W3123986693 created "2021-02-01" @default.
• W3123986693 creator A5076636790 @default.
• W3123986693 date "2000-04-01" @default.
• W3123986693 modified "2023-10-13" @default.
• W3123986693 title "How Does Information Quality Affect Stock Returns?" @default.
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• W3123986693 doi "https://doi.org/10.1111/0022-1082.00227" @default.
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