Exploring the link between information quality and systematic risk

Charlie X. Cai*, Robert W. Faff, David Hillier, Suleiman Mohamed

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review

3 Citations (Scopus)


We examine the effect of information quality around earnings announcements and insider trading events on equity systematic risk. Our results indicate that observed systematic risk significantly increases after these events. Consistent with the insights provided by our framework, the change in systematic risk is increasing in the ratio of event-related to pre-event information quality. Our results have implications for all empirical work attempting to model security returns around firm and macroeconomic announcements.

Original languageEnglish
Pages (from-to)335-353
Number of pages19
JournalJournal of Financial Research
Issue number3
Publication statusPublished - 2007
Externally publishedYes


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