Information Choice, Uncertainty, and Expected Returns

Charles Cao, David Gempesaw, Timothy T. Simin

Research output: Contribution to journalArticlepeer-review

3 Scopus citations


We investigate how information choices affect equity returns and risk. Building on an existing theoretical model of information and investment choice, we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have lower future returns and risk compared to low learning index stocks. Analysis of a conditional asset pricing model, long-run patterns in returns and volatilities, other measures of information flow, and the information environment surrounding earnings announcements reinforce our interpretation of the learning index. Our findings support the model's predictions and illustrate a novel empirical measure of investor learning.

Original languageEnglish (US)
Pages (from-to)5977-6031
Number of pages55
JournalReview of Financial Studies
Issue number12
StatePublished - Dec 1 2021

All Science Journal Classification (ASJC) codes

  • Accounting
  • Finance
  • Economics and Econometrics


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