%0 Journal Article
%T The Market Pricing of Information Risk: From the Perspective of the Generating and Utilizing of Information
%A Xindong Zhang
%A Xin Li
%J Journal of Financial Risk Management
%P 166-176
%@ 2167-9541
%D 2014
%I Scientific Research Publishing
%R 10.4236/jfrm.2014.34014
%X Generating and utilizing are the two sources of the information risk, reflecting the quality of financial reporting and investorsĄ¯ information interpreting ability respectively. Using accrual quality to represent the financial reporting quality and the earnings transparency to represent investorsĄ¯ information interpreting ability, we examine the correlation among them. By combining the generating and utilizing steps of information, we construct a two-dimensional information risk factor, which equals the excess return of portfolios in high-risk areas subtract that in low-risk areas. Then, taking the Fama-MacBeth two-stage cross-sectional regression procedure, we test whether the information risk factor is a pricing factor with individual stocks and industry portfolios respectively, and the empirical results support the point that information risk is priced by market.
%K Financial Reporting Quality
%K InvestorsĄ¯ Information Interpreting Ability
%K Information Risk
%K Asset Pricing
%U http://www.scirp.org/journal/PaperInformation.aspx?PaperID=52280