This paper models the effect of corporate information preference on stock return volatility based on optimization problems of information decisions for firms and investors. Our model hypothesizes a positive correlation between corporate information preference and volatility. Utilizing the ideal institutional background of the Chinese stock market, we empirically confirm that corporate information preference has a positive impact on volatility, particularly for firms facing more severe financial distress, limited investor attention, and fewer analyst coverage. Our study provides a new perspective for analyzing the interaction between information supply and asset price dynamics.