Does more information in stock price lead to greater or smaller idiosyncratic return volatility?
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Lee, Dong Wook | - |
dc.contributor.author | Liu, Mark H. | - |
dc.date.accessioned | 2021-09-07T12:10:51Z | - |
dc.date.available | 2021-09-07T12:10:51Z | - |
dc.date.created | 2021-06-14 | - |
dc.date.issued | 2011-06 | - |
dc.identifier.issn | 0378-4266 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/112386 | - |
dc.description.abstract | We investigate the relation between price informativeness and idiosyncratic return volatility in a multi-asset, multi-period noisy rational expectations equilibrium. We show that the relation between price informativeness and idiosyncratic return volatility is either U-shaped or negative. Using several price informativeness measures, we empirically document a U-shaped relation between price informativeness and idiosyncratic return volatility. Our study therefore reconciles the opposing views in the following two strands of literature: (1) the growing body of research showing that firms with more informative stock prices have greater idiosyncratic return volatility, and (2) the studies arguing that more information in price reduces idiosyncratic return volatility. (C) 2010 Elsevier B.V. All rights reserved. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | ELSEVIER SCIENCE BV | - |
dc.subject | CROSS-SECTION | - |
dc.subject | RISK | - |
dc.subject | VALUATION | - |
dc.title | Does more information in stock price lead to greater or smaller idiosyncratic return volatility? | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | Lee, Dong Wook | - |
dc.identifier.doi | 10.1016/j.jbankfin.2010.11.002 | - |
dc.identifier.scopusid | 2-s2.0-79955664788 | - |
dc.identifier.wosid | 000290423500019 | - |
dc.identifier.bibliographicCitation | JOURNAL OF BANKING & FINANCE, v.35, no.6, pp.1563 - 1580 | - |
dc.relation.isPartOf | JOURNAL OF BANKING & FINANCE | - |
dc.citation.title | JOURNAL OF BANKING & FINANCE | - |
dc.citation.volume | 35 | - |
dc.citation.number | 6 | - |
dc.citation.startPage | 1563 | - |
dc.citation.endPage | 1580 | - |
dc.type.rims | ART | - |
dc.type.docType | Article | - |
dc.description.journalClass | 1 | - |
dc.description.journalRegisteredClass | ssci | - |
dc.description.journalRegisteredClass | scopus | - |
dc.relation.journalResearchArea | Business & Economics | - |
dc.relation.journalWebOfScienceCategory | Business, Finance | - |
dc.relation.journalWebOfScienceCategory | Economics | - |
dc.subject.keywordPlus | CROSS-SECTION | - |
dc.subject.keywordPlus | RISK | - |
dc.subject.keywordPlus | VALUATION | - |
dc.subject.keywordAuthor | Idiosyncratic volatility | - |
dc.subject.keywordAuthor | Noisy rational expectations equilibrium | - |
dc.subject.keywordAuthor | Price informativeness | - |
Items in ScholarWorks are protected by copyright, with all rights reserved, unless otherwise indicated.
(02841) 서울특별시 성북구 안암로 14502-3290-1114
COPYRIGHT © 2021 Korea University. All Rights Reserved.
Certain data included herein are derived from the © Web of Science of Clarivate Analytics. All rights reserved.
You may not copy or re-distribute this material in whole or in part without the prior written consent of Clarivate Analytics.