We study whether firm and macroeconomic announcements that convey systematic information generate a return premium for firms that experience information spillovers. We use information consumption to proxy for investor learning during these announcements and construct ex ante measures of expected information consumption (EIC) to calibrate whether learning is priced. On days when there are information spillovers, affected stocks earn a significant return premium (5% annualized) and the capital asset pricing model performs better. The positive effect of the Federal Reserve Open Market Committee announcements on the risk premia of individual stocks appears to be modulated by EIC. Our findings are most consistent with a risk‐based explanation.

中文翻译：

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信息消费与资产定价

我们研究传达系统信息的公司和宏观经济公告是否会为经历信息溢出的公司带来收益溢价。在这些公告期间，我们使用信息消耗量来代表投资者的学习，并构建预期信息消耗量（EIC）的事前度量标准，以校准学习产品是否定价。在信息溢出的日子里，受影响的股票会获得可观的回报溢价（年化5％），并且资本资产定价模型的表现更好。美联储公开市场委员会公告对个别股票的风险溢价的积极影响似乎已得到调整。我们的发现与基于风险的解释最一致。