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Information efficiency and firm -specific return variation.

紀錄類型:	書目-電子資源 : Monograph/item
正題名/作者:	Information efficiency and firm -specific return variation./
作者:	Kelly, Patrick J.
面頁冊數:	1 online resource (56 pages)
附註:	Source: Dissertations Abstracts International, Volume: 68-04, Section: A.
Contained By:	Dissertations Abstracts International68-04A.
標題:	Finance. -
電子資源:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3220774click for full text (PQDT)
ISBN:	9780542737763

Information efficiency and firm -specific return variation.
Kelly, Patrick J.

Information efficiency and firm -specific return variation. - 1 online resource (56 pages)

Source: Dissertations Abstracts International, Volume: 68-04, Section: A.

Thesis (Ph.D.)--Arizona State University, 2006.

Includes bibliographical references

This paper examines whether private information is a primary source of idiosyncratic volatility and poor model fit of asset pricing models. Novel microstructure measures of private information incorporation are used to asses the impact of private information on returns. The evidence shows that high R2 stocks have a significantly greater likelihood of private information events, but that private information helps explain a greater portion of the return of low R2 stocks---as much as 13% of monthly return variation. Nonetheless, for the same stocks, over 80% of returns remain unexplained either by private information or standard asset pricing factors. The relation between impediments to informed trade and market model R2 is also examined. Stocks with the greatest impediments to trade, the highest transaction costs, information costs and lowest liquidity, are those with the lowest R2. These results are evidence that idiosyncratic volatility and poor model fit are driven by factors other than private firm-specific information and suggest caution when interpreting idiosyncratic volatility or market model R2 as an indicator of information incorporation in returns. Evidence points to illiquidity as one central cause of poor model fit.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2023

Mode of access: World Wide Web

ISBN: 9780542737763Subjects--Topical Terms:

542899
Finance.
Subjects--Index Terms:

Firm-specific return variationIndex Terms--Genre/Form:

542853
Electronic books.

Information efficiency and firm -specific return variation.
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245 1 0 $a Information efficiency and firm -specific return variation.
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500 $a Publisher info.: Dissertation/Thesis.
500 $a Advisor: Griffin, John M.; Martin, J. Spencer.
502 $a Thesis (Ph.D.)--Arizona State University, 2006.
504 $a Includes bibliographical references
520 $a This paper examines whether private information is a primary source of idiosyncratic volatility and poor model fit of asset pricing models. Novel microstructure measures of private information incorporation are used to asses the impact of private information on returns. The evidence shows that high R2 stocks have a significantly greater likelihood of private information events, but that private information helps explain a greater portion of the return of low R2 stocks---as much as 13% of monthly return variation. Nonetheless, for the same stocks, over 80% of returns remain unexplained either by private information or standard asset pricing factors. The relation between impediments to informed trade and market model R2 is also examined. Stocks with the greatest impediments to trade, the highest transaction costs, information costs and lowest liquidity, are those with the lowest R2. These results are evidence that idiosyncratic volatility and poor model fit are driven by factors other than private firm-specific information and suggest caution when interpreting idiosyncratic volatility or market model R2 as an indicator of information incorporation in returns. Evidence points to illiquidity as one central cause of poor model fit.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2023
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 542899
650 4 $a Efficiency. $3 753744
650 4 $a Information dissemination. $3 3561048
650 4 $a Prices. $3 652651
650 4 $a Models. $3 3435308
650 4 $a Studies. $3 3433795
650 4 $a Investments. $3 566987
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650 4 $a Property rights. $3 3684069
653 $a Firm-specific return variation
653 $a Idiosyncratic volatility
653 $a Information efficiency
653 $a Private information
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690 $a 0508
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