We examine which traditional asset pricing variables together with bank-specific accounting variables explain the cross-sectional variation of future bank stock returns, using a firm-level data of eight Asian countries. Our empirical evidence shows that exchange rate risk, firm size, the...

Purpose This study aims to investigate information risk in relation to stock returns of a firm and whether information risk is priced in China. Design/methodology/approach The authors used accruals quality (AQ) as their measure of information risk and performed Fama-Macbeth regressions to...

Purpose – The purpose of this paper is to investigate information risk in relation to cost of capital and, also, whether information risk is a priced risk factor in China. Design/methodology/approach – The authors used accruals quality (AQ) as the measure of information risk and employed...