Empirical Research of Factor Pricing Model Considering Information Intensity

Abstract

Abstract:

This paper develops an information intensity index based on two dimensions: information quantity and information quality, to study its effect on stock cross section earnings. Based on a pricing model of five factors, including information intensity, this paper analyzes the return of stock portfolio of different information intensity to study the relationships among information intensity, earnings and risk. The results show that the information intensity index based on the two dimensions has advantages in explaining stock return. Further evidence indicates that information is an important risk factor affecting portfolio returns and the five-factor pricing model considering information strength can better explain the portfolio returns. Specifically, information intensity shows a negative relationship with excess returns and information risk that the information intensity is stronger, the excess return is lower, the information risk is lower. Furthermore, stock portfolio considering the information intensity can meet the needs of investors of different risk preferences. The conclusion can provide advice for investors to invest, supervisors to perfect market construction and scholars to study asset pricing problems.

Key words: information intensity, information quality, five factor pricing model, excess return, sensitive coefficient

Jin Xiu, Jiang Shangwei, Yuan Ying. Empirical Research of Factor Pricing Model Considering Information Intensity[J]. , 2020, 32(5): 14-25.

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