Room 1037, 690 Building

Information risk is considered as a systematic risk factor in many asset pricing models. However, there is no agreement on the correct proxy for information risk. I will discuss two proxies for information risk, namely disclosure quality and accruals quality. I test the ability of modified Fama French model that includes information risk in explaining UK stock returns. Also, I run a horse race between those models and examine if they are complements or substitutes. The results indicate that they are substitutes rather than complements and consequently confirm that they proxy the same information.