IDEAS home Printed from https://ideas.repec.org/a/wsi/afexxx/v01y2005i01ns2010495205500041.html
   My bibliography  Save this article

The "Firm-Specific Return Variation": A Measure Of Price Informativeness Or Information Asymmetry?

Author

Listed:
  • RADU BURLACU

    (CERAG UMR CNRS 5820, University "Pierre Mendès-France", 150 rue de la Chimie, 38040 Grenoble Cedex 9, France)

  • PATRICE FONTAINE

    (CERAG UMR CNRS 5820, University "Pierre Mendès-France", 150 rue de la Chimie, 38040 Grenoble Cedex 9, France)

  • SONIA JIMENEZ-GARCÈS

    (CERAG UMR CNRS 5820, University "Pierre Mendès-France", 150 rue de la Chimie, 38040 Grenoble Cedex 9, France)

Abstract

This paper investigates the relevancy of the "Firm-Specific Return Variation" (FSRV) as a measure of stock price informativeness. For this purpose, we study the link between FSRV and stock excess returns on the American market over the period 1986–2001. After controlling for size effects, we find a negative and highly significant impact of FSRV on stock returns. The link between FSRV and stock excess returns is robust to asset pricing models and does not capture systematic, size or "book-to-market" (BM) effects. Based on rational expectations equilibrium (REE) models considering asymmetrically informed investors, we suggest that FSRV is a good proxy for price informativeness. Common stocks with higher specific return variation have lower information-risk premium, thus lower expected returns.

Suggested Citation

  • Radu Burlacu & Patrice Fontaine & Sonia Jimenez-Garcès, 2005. "The "Firm-Specific Return Variation": A Measure Of Price Informativeness Or Information Asymmetry?," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., vol. 1(01), pages 1-20.
    • Handle: RePEc:wsi:afexxx:v:01:y:2005:i:01:n:s2010495205500041
    DOI: 10.1142/S2010495205500041
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S2010495205500041
    Download Restriction: Access to full text is restricted to subscribers
    File URL: https://libkey.io/10.1142/S2010495205500041?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

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

    References listed on IDEAS

    as
    1. Satyanarayana, 1990. "Women in a Developing Society," India Quarterly: A Journal of International Affairs, , vol. 46(2-3), pages 215-219, April.
    2. anonymous, 1990. "New Zealand economic chronology 1989," Reserve Bank of New Zealand Bulletin, Reserve Bank of New Zealand, vol. 53, march.
    3. anonymous, 1990. "New members named January 25, 1990," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Mar, pages 151-152.
    4. Iscr, 2001. "Growing our next generation of business leaders," Competition & Regulation Times 374106, New Zealand Institute for the Study of Competition and Regulation.
    5. -, 1990. "Women in development bibliography," Sede Subregional de la CEPAL para el Caribe (Estudios e Investigaciones) 27324, Naciones Unidas Comisión Económica para América Latina y el Caribe (CEPAL).
    6. Whitehead A., 1990. "Wives and mothers: female farmers in Africa," ILO Working Papers 992742183402676, International Labour Organization.
    7. anonymous, 2001. "Is there a world business cycle?," Chicago Fed Letter, Federal Reserve Bank of Chicago, issue Dec.
    8. Oecd, 2001. "The Internet and Business Performance," OECD Digital Economy Papers 57, OECD Publishing.
    9. anonymous, 1990. "New members appointed," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), issue Mar, pages 152-153.
    10. Ramachandran K, 2001. "The Business Logic for Dotcom Businesses," IIMA Working Papers WP2001-01-02, Indian Institute of Management Ahmedabad, Research and Publication Department.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. L. Krim & A. Bouferguene & P. E. Hoggan & D. Hammoutene, 2011. "A Phenomenological Monte Carlo Simulation Of A Two-Step Dimer/Monomer Surface Reaction," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 22(10), pages 1063-1079.
    2. Victor Ginsburgh & Shlomo Weber, 2012. "Culture Languages and Economics," Working Papers ECARES ECARES 2012-009, ULB -- Universite Libre de Bruxelles.
    3. Arcaute, E. & Dyagilev, K. & Johari, R. & Mannor, S., 2013. "Dynamics in tree formation games," Games and Economic Behavior, Elsevier, vol. 79(C), pages 1-29.
    4. Findley, Sally E. & Williams, Lindy., 1991. "Women Who go and women Who stay : reflections of family migration processes in a changing world," ILO Working Papers 992826463402676, International Labour Organization.
    5. Ma, Tao & Serota, R.A., 2014. "A model for stock returns and volatility," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 89-115.
    6. Swift-Hook, DT, 1997. "The whole life costing of wind energy," Renewable Energy, Elsevier, vol. 10(2), pages 247-251.
    7. Liliana Feleaga & Niculae Feleaga & Mihaela Dumitrascu, 2013. "Study On The Perception Of The Corporate Performance In Accounting And Audit Firms," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(1), pages 1316-1323, July.
    8. Joshua Congdon-Hohman, 2018. "Retirement Reversals and Health Insurance," Public Finance Review, , vol. 46(4), pages 583-608, July.
    9. repec:ilo:ilowps:290118 is not listed on IDEAS
    10. Damianus Abun & Shannare Mica T. Calamaan & Theogenia Magallanes & Mary Joy Encarnacion & Micah Sallong, 2021. "Bureaucratic management style and workplace well-being of the Divine Word Colleges," International Journal of Research in Business and Social Science (2147-4478), Center for the Strategic Studies in Business and Finance, vol. 10(3), pages 477-489, April.
    11. Jie Lu, 2003. "A Model for Evaluating E-Commerce Based on Cost/Benefit and Customer Satisfaction," Information Systems Frontiers, Springer, vol. 5(3), pages 265-277, September.
    12. repec:ilo:ilowps:282085 is not listed on IDEAS
    13. Ourania Vitouladiti, 2015. "The Evolved And More Complex Role Of Travel Agencies And Tour Operators In The Online Era. Effects On Their Marketing Management," Tourism Research Institute, Journal of Tourism Research, vol. 11(1), pages 190-200, September.
    14. repec:ilo:ilowps:300236 is not listed on IDEAS
    15. Mr. Chris Becker, 2012. "Small Island States in the Pacific: the Tyranny of Distance," IMF Working Papers 2012/223, International Monetary Fund.
    16. Nadine Levratto & Denis Carré & Messaoud Zouikri, 2013. "Dynamique des territoires et création d'entreprises : une analyse des départements français en 2008," Working Papers halshs-00840365, HAL.
    17. Golosov, M. & Tsyvinski, A. & Werquin, N., 2016. "Recursive Contracts and Endogenously Incomplete Markets," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 725-841, Elsevier.
    18. Sungyup Chung, 2016. "Assessing the regional business cycle asymmetry in a multi-level structure framework: a study of the top 20 US MSAs," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 56(1), pages 229-252, January.
    19. Oppong, Christine,, 1991. "Relationships between women's work and demographic behaviour : some research evidence in West Africa," ILO Working Papers 992820853402676, International Labour Organization.
    20. Steven Lim, 2012. "Estimating the Final Size of an Online User Base," Working Papers in Economics 12/15, University of Waikato.
    21. Steve Elliot, 2006. "Technology-Enabled Innovation, Industry Transformation and the Emergence of Ambient Organizations," Industry and Innovation, Taylor & Francis Journals, vol. 13(2), pages 209-225.
    22. Anker, Richard, & Khan, M. E. & Prasad Cvs. & Test-Mason K., 1992. "Collection of community-level data and their accuracy: results from an Indian study," ILO Working Papers 992886943402676, International Labour Organization.
    23. Farokhi, Farhad & Johansson, Karl H., 2015. "A piecewise-constant congestion taxing policy for repeated routing games," Transportation Research Part B: Methodological, Elsevier, vol. 78(C), pages 123-143.

    More about this item

    Keywords

    Idiosyncratic risk; private information; information-risk premium; rational expectations models; G11; G12; G14;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

    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:wsi:afexxx:v:01:y:2005:i:01:n:s2010495205500041. See general information about how to correct material in RePEc.

    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.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscinet.com/afe/afe.shtml .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.