کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5086962 | 1375287 | 2009 | 18 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Is PIN priced risk?
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موضوعات مرتبط
علوم انسانی و اجتماعی
مدیریت، کسب و کار و حسابداری
حسابداری
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چکیده انگلیسی
Several recent papers assume that private information (PIN), proposed by Easley et al. [2002. Is information risk a determinant of asset returns? Journal of Finance 57, 2185-2221; 2004. Factoring information into returns. Working Paper, Cornell University], is a determinant of stock returns. We replicate Easley et al. (2002) and show that while PIN does predict future returns in the sample they analyze, the effect is not robust to alternative specifications and time periods. There is no evidence that PIN factor loadings predict returns or that PIN factor returns reflect future GDP growth. PIN exhibits no association with implied cost of capital derived from analysts' earnings forecasts. Overall, our findings cast doubt on whether PIN reflects information risk systematically priced by investors.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Accounting and Economics - Volume 47, Issue 3, June 2009, Pages 226-243
Journal: Journal of Accounting and Economics - Volume 47, Issue 3, June 2009, Pages 226-243
نویسندگان
Partha Mohanram, Shiva Rajgopal,