Securities Markets in Which Some Investors Receive Information About Cash Flow Betas

References

• Admati AR (1985) A noisy rational expectations equilibrium for multi-asset securities markets. Econometrica 53(3):629–658.Crossref, Google Scholar
• Albagli E, Hellwig C, Tsyvinski A (2021) Dispersed information and asset prices. Technical report, Center for Economic and Policy Research, Washington, DC.Google Scholar
• Andrei D, Friedman H, Ozel NB (2023) Economic uncertainty and investor attention. J. Financial Econom. 149(2):179–217.Crossref, Google Scholar
• Armstrong CS, Banerjee S, Corona C (2013) Factor-loading uncertainty and expected returns. Rev. Financial Stud. 26(1):158–207.Crossref, Google Scholar
• Bai J, Philippon T, Savov A (2016) Have financial markets become more informative? J. Financial Econom. 122(3):625–654.Crossref, Google Scholar
• Baker M, Bradley B, Wurgler J (2011) Benchmarks as limits to arbitrage: Understanding the low-volatility anomaly. Financial Anal. J. 67(1):40–54.Crossref, Google Scholar
• Bali TG, Brown SJ, Murray S, Tang Y (2017) A lottery-demand-based explanation of the beta anomaly. J. Financial Quant. Anal. 52(6):2369–2397.Crossref, Google Scholar
• Barahona R, Driessen J, Frehen R (2021) Can unpredictable risk exposure be priced? J. Financial Econom. 139(2):522–544.Crossref, Google Scholar
• Barclay M, Warner J (1993) Stealth trading and volatility: Which trades move prices? J. Financial Econom. 34(3):281–305.Crossref, Google Scholar
• Beyer A, Smith KC (2021) Learning about risk-factor exposures from earnings: Implications for asset pricing and manipulation. J. Accounting Econom. 72(1):101404.Crossref, Google Scholar
• Brennan MJ, Subrahmanyam A (1996) Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. J. Financial Econom. 41(3):441–464.Crossref, Google Scholar
• Brunnermeier MK, Sockin M, Xiong W (2022) China’s model of managing the financial system. Rev. Econom. Stud. 89(6):3115–3153.Crossref, Google Scholar
• Chan L, Lakonishok J (1993) Institutional trades and intraday stock price behavior. J. Financial Econom. 33(2):173–199.Crossref, Google Scholar
• Chordia T, Subrahmanyam A (2004) Order imbalance and individual stock returns: Theory and evidence. J. Financial Econom. 72(3):485–518.Crossref, Google Scholar
• Chordia T, Subrahmanyam A, Tong Q (2014) Have capital market anomalies attenuated in the recent era of high liquidity and trading activity? J. Accounting Econom. 58(1):41–58.Crossref, Google Scholar
• Cochrane JH (2014) A mean-variance benchmark for intertemporal portfolio theory. J. Finance 69(1):1–49.Crossref, Google Scholar
• Collins DW, Ledolter J, Rayburn J (1987) Some further evidence on the stochastic properties of systematic risk. J. Bus. 60(3):425–448.Crossref, Google Scholar
• Dow J, Han J, Sangiorgi F (2021) Hysteresis in price efficiency and the economics of slow-moving capital. Rev. Financial Stud. 34(6):2857–2909.Crossref, Google Scholar
• Dugast J, Foucault T (2018) Data abundance and asset price informativeness. J. Financial Econom. 130(2):367–391.Crossref, Google Scholar
• Edmans A, Heinle MS, Huang C (2016) The real costs of financial efficiency when some information is soft. Rev. Finance 20(6):2151–2182.Crossref, Google Scholar
• Fama EF, French KR (1992) The cross-section of expected stock returns. J. Finance 47(2):427–465.Crossref, Google Scholar
• Fama EF, French KR (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Google Scholar
• Frazzini A, Pedersen LH (2014) Betting against beta. J. Financial Econom. 111(1):1–25.Crossref, Google Scholar
• Gabaix X, Landier A (2008) Why has CEO pay increased so much? Quart. J. Econom. 123(1):49–100.Crossref, Google Scholar
• Ganguli JV, Yang L (2009) Complementarities, multiplicity, and supply information. J. Eur. Econom. Assoc. 7(1):90–115.Crossref, Google Scholar
• Glebkin S, Malamud S, Teguia A (2020) Asset prices and liquidity with market power and non-Gaussian payoffs. Research Paper (20-80), Swiss Finance Institute, Zurich.Google Scholar
• Glosten L, Milgrom PR (1985) Bid, ask and transaction prices in a specialist market with heterogeneously informed traders. J. Financial Econom. 14(1):71–100.Crossref, Google Scholar
• Glosten L, Nallareddy SJ, Zou Y (2021) ETF activity and informational efficiency of underlying securities. Management Sci. 67(1):22–47.Link, Google Scholar
• Goldman E (2005) Organizational form, information collection, and the value of the firm. J. Bus. 78(3):817–839.Crossref, Google Scholar
• Goldstein I, Yang L (2015) Information diversity and complementarities in trading and information acquisition. J. Finance 70(4):1723–1765.Crossref, Google Scholar
• Goldstein I, Yang L (2019) Good disclosure, bad disclosure. J. Financial Econom. 131(1):118–138.Crossref, Google Scholar
• Goldstein I, Ozdenoren E, Yuan K (2013) Trading frenzies and their impact on real investment. J. Financial Econom. 109(2):566–582.Crossref, Google Scholar
• Grossman SJ, Miller MH (1988) Liquidity and market structure. J. Finance 43(3):617–633.Crossref, Google Scholar
• Grossman SJ, Stiglitz JE (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
• Hameed A, Mian GM (2015) Industries and stock return reversals. J. Financial Quant. Anal. 50(1–2):89–117.Crossref, Google Scholar
• Hasbrouck J (1991) Measuring the information content of stock trades. J. Finance 46(1):179–207.Crossref, Google Scholar
• Hasbrouck J, Sofianos G (1993) The trades of market makers: An empirical analysis of NYSE specialists. J. Finance 48(5):1565–1593.Crossref, Google Scholar
• Heinle MS, Smith KC, Verrecchia RE (2018) Risk-factor disclosure and asset prices. Accounting Rev. 93(2):191–208.Crossref, Google Scholar
• Ho T, Stoll HR (1981) Optimal dealer pricing under transactions and return uncertainty. J. Financial Econom. 9(1):47–73.Crossref, Google Scholar
• Holthausen R, Leftwich R, Mayers D (1987) The effect of large block transactions on security prices: A cross-sectional analysis. J. Financial Econom. 19(2):237–267.Crossref, Google Scholar
• Hong H, Stein JC (1999) A unified theory of underreaction, momentum trading, and overreaction in asset markets. J. Finance 54(6):2143–2184.Crossref, Google Scholar
• Hou K, Xue C, Zhang L (2020) Replicating anomalies. Rev. Financial Stud. 33(5):2019–2133.Crossref, Google Scholar
• Hughes JS, Liu J, Liu J (2007) Information asymmetry, diversification, and cost of capital. Accounting Rev. 82(3):705–729.Crossref, Google Scholar
• Jagannathan R, Wang Z (1996) The conditional CAPM and the cross-section of expected returns. J. Finance 51(1):3–53.Crossref, Google Scholar
• Jegadeesh N, Titman S (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
• Jostova G, Philipov A (2005) Bayesian analysis of stochastic betas. J. Financial Quant. Anal. 40(4):747–778.Crossref, Google Scholar
• Kacperczyk M, Van Nieuwerburgh S, Veldkamp L (2016) A rational theory of mutual funds’ attention allocation. Econometrica 84(2):571–626.Crossref, Google Scholar
• Kondor P (2012) The more we know about the fundamental, the less we agree on the price. Rev. Econom. Stud. 79(3):1175–1207.Crossref, Google Scholar
• Kyle AS (1985) Continuous auctions and insider trading. Econometrica 53(6):1315–1335.Crossref, Google Scholar
• Lewellen J, Nagel S (2006) The conditional CAPM does not explain asset-pricing anomalies. J. Financial Econom. 82(2):289–314.Crossref, Google Scholar
• Madhavan A, Smidt S (1993) An analysis of changes in specialist inventories and quotations. J. Finance 48(5):1595–1628.Crossref, Google Scholar
• Magill M, Quinzii M (2000) Infinite horizon CAPM equilibrium. Econom. Theory 15(1):103–138.Crossref, Google Scholar
• Nagel S (2012) Evaporating liquidity. Rev. Financial Stud. 25(7):2005–2039.Crossref, Google Scholar
• Newey WK, West KD (1994) Automatic lag selection in covariance matrix estimation. Rev. Econom. Stud. 61(4):631–653.Crossref, Google Scholar
• Ozsoylev HN, Walden J (2011) Asset pricing in large information networks. J. Econom. Theory 146(6):2252–2280.Crossref, Google Scholar
• Pástor L, Stambaugh RF (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
• Peress J (2010) Product market competition, insider trading, and stock market efficiency. J. Finance 65(1):1–43.Crossref, Google Scholar
• Saar G (2001) Price impact asymmetry of block trades: An institutional trading explanation. Rev. Financial Stud. 14(4):1153–1181.Crossref, Google Scholar
• Sadka R (2006) Momentum and post-earnings-announcement drift anomalies: The role of liquidity risk. J. Financial Econom. 80(2):309–349.Crossref, Google Scholar
• Smith K (2019) Financial markets with trade on risk and return. Rev. Financial Stud. 32(10):4042–4078.Crossref, Google Scholar
• Subrahmanyam A (1991a) Risk aversion, market liquidity, and price efficiency. Rev. Financial Stud. 4(3):417–441.Crossref, Google Scholar
• Subrahmanyam A (1991b) A theory of trading in stock index futures. Rev. Financial Stud. 4(1):17–51.Crossref, Google Scholar
• Sunder S (1980) Stationarity of market risk: Random coefficients tests for individual stocks. J. Finance 35(4):883–896.Crossref, Google Scholar
• Yuan K (2005) The liquidity service of benchmark securities. J. Eur. Econom. Assoc. 3(5):1156–1180.Crossref, Google Scholar