Economic Events, Information Structure, and the Return-Generating Process
The parameters of the return process of a firm are determined by two elements—the <italic>natural event structure</italic>, i.e., the process by which nature affects the value of the firm, and the <italic>information structure</italic>, i.e., the process by which information about these events is collected and disseminated to investors. Simple measures of three dimensions of the information structure—the frequency and accuracy of, and the bias in information releases, are derived from the moments of the return distribution.
Year of publication: |
1985
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Authors: | Damodaran, Aswath |
Published in: |
Journal of Financial and Quantitative Analysis. - Cambridge University Press. - Vol. 20.1985, 04, p. 423-434
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Publisher: |
Cambridge University Press |
Description of contents: | Abstract [journals.cambridge.org] |
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