BAFI Academic Seminarhttps://weatherhead.case.edu/events/2017/12/01/bafi-academic-seminar
Typically, academics rely on the supply of information that arrives to market (e.g., macroeconomic announcements, earnings reports, or news releases) to study how information affects asset prices. In this paper, we use measures of demand for information. We show that institutional demand is much more likely than information supply to be associated with a risk premium because it captures systematic information that spills over from other stocks and the macroeconomy. Extreme firm events do not account for this result since these are often indiosyncratic in nature. Consistent with this, the CAPM performs better when institutions demand information, and the positive effect of FOMC announcements on risk premia (Savor and Wilson, 2014) appears to be modulated by investor demand for information on individual stocks. This paper is co-authored with Azi Ben-Rephael, Indiana University, Bruce I. Carlin, University of California, Los Angeles, and Ryan D. Israelsen, Michigan State University.
||Friday, Dec. 1, 2017 from 10:30 a.m. to noon
||Peter B. Lewis Building, 203
11119 Bellflower Road
Cleveland, OH 44106-7235
||Speaker(s): Zhi Da, Notre Dame Univ.
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