Asset pricing theory generally assumes perfect markets and, therefore, asset pricing models disregard the possibility of information deficiency in stock price formation. Our study analyses if the quantity of information about an asset determines its return. More precisely, we want to know if...

The aim of this paper consists on seeing whether the information differential affects tothe stocks return in the Spanish market. Usually the firm attention by financial analysts,expressed by de number of earnings estimations, has been used as a proxy of the differentialinformation. Nevertheless,...