CAPM WITH INFORMATION COST

This study investigates a simple theoretical model that explains how asset prices are affected by information risk and voluntary dissemination. Within this framework, we search for testing the impact of introducing disclosure risk on asset pricing model. The model offers a unified theoretical frame that can elicit the empirical findings that return sensitivity to market information is priced. We conclude that the expected stock return depends not only on information itself but also on the correlation between its return and the market disclosure.