Accepted by Haresh Sapra. This paper is based on my doctoral dissertation at the University of North Carolina at Chapel Hill. I thank my advisers Eric Ghysels, Wayne Landsman, Mark Lang, Doug Shackelford, and especially Robert Bushman and Ro Verrecchia for their continuous support and guidance on this project. This paper benefited from comments by an anonymous referee, Phil Berger, Hans Christensen, Thomas Hemmer, Terry Shevlin, and seminar participants at the University of Chicago, Columbia University, Harvard, London Business School, the University of Minnesota Empirical Conference, MIT, the University of North Carolina at Chapel Hill, Northwestern University, Purdue University, Stanford University, Tel Aviv University, the University of Texas at Austin, Wharton, and the AFAANZ Doctoral Colloquium in Melbourne, Australia. Financial support from the University of Michigan Ross School of Business, the University of Chicago Booth School of Business and the Neubaurer Family Faculty Fellowship are gratefully acknowledged.
Does Anticipated Information Impose a Cost on Risk-Averse Investors? A Test of the Hirshleifer Effect
Article first published online: 3 JAN 2013
Copyright ©, University of Chicago on behalf of the Accounting Research Center, 2013
Journal of Accounting Research
Volume 51, Issue 1, pages 31–66, March 2013
How to Cite
BALL, R. T. (2013), Does Anticipated Information Impose a Cost on Risk-Averse Investors? A Test of the Hirshleifer Effect. Journal of Accounting Research, 51: 31–66. doi: 10.1111/j.1475-679X.2012.00473.x
- Issue published online: 14 JAN 2013
- Article first published online: 3 JAN 2013
- Accepted manuscript online: 7 NOV 2012 09:26AM EST
- Received 6 July 2011; accepted 30 October 2012
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