August 10, 2019
We investigate how information choices impact equity returns and risk. Building upon the theory of Van Nieuwerburgh and Veldkamp (2010), we estimate a learning index that reflects the expected benefits of learning about an asset. High learning index stocks have 6.2% lower returns per year and an order of magnitude lower abnormal volatilities compared to low learning index stocks. Long run patterns in returns and volatilities, other measures of information flow, and the information environment surrounding earnings announcements confirm our interpretation of the learning index.