haku: @author Ragjopal, S. / yhteensä: 1
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| Tekijä: | Mohanram, P. Ragjopal, S. |
| Otsikko: | Is PIN priced risk? |
| Lehti: | Journal of Accounting & Economics
2009 : JUN, VOL. 47:3, p. 226-243 |
| Asiasana: | information risk pricing forecasting earnings |
| Kieli: | eng |
| Tiivistelmä: | Private information (hereafter as: 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 assumed to be a determinant of stock returns in several recent papers. This study replicates Easley et al. 2002, showing that while PIN does predict future returns in the sample analyzed by Easley et al., the effect is not robust to alternative specifications and time periods. No evidence exists to support that PIN factor loadings predict returns or that PIN factor returns reflect future GDP growth. PIN represents no association with implied cost of capital derived from analysts' earnings forecast. Overall, the findings of the study cast doubt on whether PIN reflects information risk systematically priced by investors. |
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