Derivation of a Returns-Based Measure of Information Quality
In this chapter, I present the development and validation of a returns-based earnings quality metric, termed e-loading. This chapter is an abbreviated version of Ecker, Francis, Kim, Olsson, and Schipper (2006).11 In short, e-loading is the firm-specific slope coefficient on an information quality mimicking factor from an asset pricing regression and thus a returns-based representation of the perceived information quality.
KeywordsTotal Asset Information Quality Market Risk Daily Return Earning Quality
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