Azi Ben-Rephael
Rutgers University · Finance and Economics
Active 2007–2023
Research topics
- Computer Science
- Economics
- Business
- Financial economics
- Monetary economics
Selected publications
Information Consumption and Asset Pricing
The Journal of Finance · 2020 · 112 citations
1st authorCorresponding- Computer Science
- Economics
- Business
ABSTRACT 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.
Frequent coauthors
- 20 shared
Zhi Da
- 18 shared
Avi Wohl
Tel Aviv University
- 16 shared
Ryan D. Israelsen
- 13 shared
Shmuel Kandel
Tel Aviv University
- 9 shared
Salman Arif
- 9 shared
Bruce Carlin
- 7 shared
Charles M.C. Lee
- 5 shared
Jacob Oded
Tel Aviv University
- Resume-aware match score
- Save to shortlist
- AI-drafted outreach
See your match with Azi Ben-Rephael
PhdFit ranks faculty by your research interests, methods, and publications — grounded in their actual work, not templates.
- Free to start
- No credit card
- 30-second signup