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Economic Events, Information Structure, and the Return-Generating Process

Published online by Cambridge University Press:  06 April 2009

Aswath Damodaran
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Abstract

The parameters of the return process of a firm are determined by two elements—the natural event structure, i.e., the process by which nature affects the value of the firm, and the information structure, 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.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 20 , Issue 4 , December 1985 , pp. 423 - 434
Copyright
Copyright © School of Business Administration, University of Washington 1985

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