IDEAS home Printed from https://ideas.repec.org/a/bla/jfnres/v30y2007i3p335-353.html
   My bibliography  Save this article

Exploring The Link Between Information Quality And Systematic Risk

Author

Listed:
  • Charlie X. Cai
  • Robert W. Faff
  • David Hillier
  • Suleiman Mohamed

Abstract

We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in systematic risk is increasing in the ratio of event-related to pre-event information quality. Our results have implications for all empirical work attempting to model security returns around firm and macroeconomic announcements. 2007 The Southern Finance Association and the Southwestern Finance Association.

Suggested Citation

  • Charlie X. Cai & Robert W. Faff & David Hillier & Suleiman Mohamed, 2007. "Exploring The Link Between Information Quality And Systematic Risk," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 30(3), pages 335-353.
  • Handle: RePEc:bla:jfnres:v:30:y:2007:i:3:p:335-353
    as

    Download full text from publisher

    File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1475-6803.2007.00217.x
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfnres:v:30:y:2007:i:3:p:335-353. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://edirc.repec.org/data/sfaaaea.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.