Asset pricing with an imprecise information set
Tài liệu tham khảo
Aboody, 2005, Earnings quality, insider trading, and cost of capital, J. Account. Res., 43, 651, 10.1111/j.1475-679X.2005.00185.x
Ai, 2010, Information quality and long-run risk: asset pricing implications, J. Financ., 65, 1333, 10.1111/j.1540-6261.2010.01572.x
Anderson, 2004, Board characteristics, accounting report integrity, and the cost of debt, J. Account. Econ., 37, 315, 10.1016/j.jacceco.2004.01.004
Barry, 1985, Differential information and security market equilibrium, J. Financ. Quant. Anal., 20, 407, 10.2307/2330758
Bhorjraj, 2007, How does the corporate bond market value capital investment and accruals?, Rev. Acc. Stud., 14, 31, 10.1007/s11142-007-9056-x
Botosan, 2004, The role of private information precision in determining cost of equity capital, Rev. Acc. Stud., 9, 233, 10.1023/B:RAST.0000028188.71604.0a
Brennan, 2001, Stock price volatility and equity premium, J. Monetary Econ., 47, 249, 10.1016/S0304-3932(01)00042-3
Coles, 1995, On equilibrium pricing under parameter uncertainty, J. Financ. Quant. Anal., 30, 347, 10.2307/2331345
Core, 2008, Is accruals quality a priced risk factor?, J. Account. Econ., 46, 2, 10.1016/j.jacceco.2007.08.001
David, 1997, Fluctuating confidence in stock markets: implications for returns and volatilities, J. Financ. Quant. Anal., 32, 427, 10.2307/2331232
Dechow, 2010, Understanding earnings quality: a review of the proxies, their determinants and their consequences, J. Account. Econ., 50, 344, 10.1016/j.jacceco.2010.09.001
Detemple, 1986, Asset pricing in a production economy with incomplete information, J. Financ., 41, 383, 10.1111/j.1540-6261.1986.tb05043.x
Detemple, 1991, Further results on asset pricing with incomplete information, J. Econ. Dyn. Control., 15, 425, 10.1016/0165-1889(91)90001-H
Dothan, 1986, Equilibrium interest rates and multiperiod bonds in a partially observable economy, J. Financ., 41, 369, 10.1111/j.1540-6261.1986.tb05042.x
Easley, 2004, Information and the cost of capital, J. Financ., 59, 1553, 10.1111/j.1540-6261.2004.00672.x
Epstein, 2008, Ambiguity, information quality and asset pricing, J. Financ., 63, 197, 10.1111/j.1540-6261.2008.01314.x
Faust, 2000, News and noise in G-7 GDP announcement
Feldman, 1989, The term structure of interest rates in a partially observable economy, J. Financ., 44, 789, 10.1111/j.1540-6261.1989.tb04391.x
Feldman, 1992, Logarithmic preferences, myopic decisions, and incomplete information, J. Financ. Quant. Anal., 27, 619, 10.2307/2331144
Feldman, 2007, Incomplete information equilibria: separation theorems and other myths, Ann. Operat. Res., Spec. Issues Financ. Model., 151, 119, 10.1007/s10479-006-0119-3
Francis, 2004, Costs of equity and earnings attributes, Account. Rev., 79, 967, 10.2308/accr.2004.79.4.967
Francis, 2005, The market pricing of earnings of quality, J. Account. Econ., 39, 295, 10.1016/j.jacceco.2004.06.003
Gennotte, 1986, Optimal Portfolio Choice under incomplete information, J. Financ., 41, 733, 10.1111/j.1540-6261.1986.tb04538.x
Graham, 2008, Corporate misreporting and bank loan contracting, J. Financ. Econ., 88, 44, 10.1016/j.jfineco.2007.08.005
Hughes, 2007, Private information, diversification, and asset pricing, Account. Rev., 82, 705, 10.2308/accr.2007.82.3.705
Kim, 2010, Accruals quality, stock returns, and macroeconomic conditions, Account. Rev., 85, 937, 10.2308/accr.2010.85.3.937
Kravet, 2010, Accounting restatements and information risk, Rev. Acc. Stud., 15, 264, 10.1007/s11142-009-9103-x
Lambert, 2007, Accounting information, disclosure and the cost of capital, J. Account. Res., 45, 385, 10.1111/j.1475-679X.2007.00238.x
Lambert, 2012, Information asymmetry, information precision, and the cost of capital, Rev. Finance, 16, 1, 10.1093/rof/rfr014
Lewellen, 2002, Learning, asset-pricing tests, and market efficiency, J. Financ., 57, 1113, 10.1111/1540-6261.00456
Liptser, 2001
Liptser, 2001
Lucas, 1978, Asset prices in an exchange economy, Econometrica, 46, 1429.1445, 10.2307/1913837
Merton, 1973, An intertemporal capital asset pricing model, Econometrica, 41, 867, 10.2307/1913811
Ogneva, 2012, Accrual quality, realized returns, and expected returns: controlling for cash flow shocks, Account. Rev., 87, 1415, 10.2308/accr-10276
Pástor, 2003, Liquidity risk and expected stock returns, J. Polit. Econ., 111, 642, 10.1086/374184
Peng, 2005, Learning with information capacity constraints, J. Financ. Quant. Anal., 40, 307, 10.1017/S0022109000002325
Shapiro, 1996, Mismeasurement in the consumer price index, an evaluation, NBER Macroecon. Annual, 11, 93, 10.1086/654295
Veronesi, 1999, Stock market overreaction to bad news in good times: a rational expectations equilibrium model, Rev. Financ. Stud., 12, 975, 10.1093/rfs/12.5.975
Veronesi, 2000, How does information quality affect stock returns?, J. Financ., 55, 807, 10.1111/0022-1082.00227
Wang, 1993, A model of intertemporal asset prices under asymmetric information, Rev. Econ. Stud., 60, 249, 10.2307/2298057
Williams, 1977, Capital asset prices with heterogeneous beliefs, J. Financ. Econ., 5, 219, 10.1016/0304-405X(77)90019-8
