| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23274 |
| 来源ID | Working Paper 23274 |
| Demand for Information and Asset Pricing | |
| Azi Ben-Rephael; Bruce I. Carlin; Zhi Da; Ryan D. Israelsen | |
| 发表日期 | 2017-03-27 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Previously, academics have used the supply of information that arrives to market (e.g., macroeconomic announcements, earnings reports, or news releases) to study how information affects asset prices and anomalies, and for tests of market efficiency. In this paper, we instead use measures of institutional and retail demand for information. We show that institutional demand for information is associated with increased trading volume and significant price movements. Average returns and betas are higher on days with higher institutional demand for information. The magnitude of these effects is much larger than those associated with the supply of news. However, the impact of demand for information from retail investors, while statistically significant, is quite small in magnitude. We also show that higher institutional demand alleviates mispricing in the market. In particular, higher information processing by institutional investors dampens momentum and enhances long-term reversals. As such, when demand for information increases, the market becomes more efficient. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w23274 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/580948 |
| 推荐引用方式 GB/T 7714 | Azi Ben-Rephael,Bruce I. Carlin,Zhi Da,et al. Demand for Information and Asset Pricing. 2017. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w23274.pdf（328KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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