Asymmetric News and Asset Pricing

42 Pages Posted: 21 Oct 2011

See all articles by Jeroen Suijs

Jeroen Suijs

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE)

Date Written: October 21, 2011

Abstract

This paper shows that in asset pricing the information environment gives rise to a systematic risk factor when the informativeness of future news events varies with their content (i.e., bad news and good news are not equally informative). The paper further shows that in such cases (cross) serial correlation in stock returns arises. The results provide new insights on on the relation between disclosure and cost of capital and on empirically documented patterns in stock returns like momentum and post earnings announcement drift.

Keywords: information, asset pricing, momentum, systematic risk factors

JEL Classification: D40, D80, G12, G14, M41

Suggested Citation

Suijs, Jeroen, Asymmetric News and Asset Pricing (October 21, 2011). Available at SSRN: https://ssrn.com/abstract=1947291 or http://dx.doi.org/10.2139/ssrn.1947291

Jeroen Suijs (Contact Author)

Erasmus University Rotterdam (EUR) - Erasmus School of Economics (ESE) ( email )

P.O. Box 1738
3000 DR Rotterdam, NL 3062 PA
Netherlands

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