Discussion of “Information Uncertainty and Expected Returns”

Discussion of “Information Uncertainty and Expected Returns” Jiang, Lee, and Zhang (Review of Accounting Studies, 2005, this issue) show that stock returns are smaller for young firms, volatile stocks, high volume stocks, and stocks with long equity durations. In addition to having lower returns, momentum effects are particularly strong in these stocks. The focus of this discussion is on the informal behavioral model that is used to explain these results and how well the variables used in the study proxy for information uncertainty, the model’s focus. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Review of Accounting Studies Springer Journals

Discussion of “Information Uncertainty and Expected Returns”

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Publisher
Kluwer Academic Publishers
Copyright
Copyright © 2005 by Springer Science+Business Media, Inc.
Subject
Business and Management; Accounting/Auditing; Corporate Finance; Public Finance
ISSN
1380-6653
eISSN
1573-7136
D.O.I.
10.1007/s11142-005-1529-1
Publisher site
See Article on Publisher Site

Abstract

Jiang, Lee, and Zhang (Review of Accounting Studies, 2005, this issue) show that stock returns are smaller for young firms, volatile stocks, high volume stocks, and stocks with long equity durations. In addition to having lower returns, momentum effects are particularly strong in these stocks. The focus of this discussion is on the informal behavioral model that is used to explain these results and how well the variables used in the study proxy for information uncertainty, the model’s focus.

Journal

Review of Accounting StudiesSpringer Journals

Published: Apr 23, 2005

References

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