When Good News Is Not So Good: Economy‐wide Uncertainty and Stock Returns
研究发现，经济不确定性会导致股票价格对公司盈利意外产生不对称反应：坏消息在不确定性高时引发更大跌幅，而好消息在衰退期被不确定性抵消，反应较小。
Abstract This paper shows that variation in economy‐wide uncertainty causes asymmetric stock price responses to firm earnings surprises. The uncertainty that attends bad earnings news that arrives during expansions with greater economy‐wide uncertainty occasions larger price declines. This is because news inconsistent with investors’ prior beliefs about the state of the economy increases uncertainty, which amplifies the negative cash flow effects contained in bad earnings news. Asymmetrically, the positive cash flow effect of good earnings news that arrives during recessions is offset by increased investor uncertainty, which results in relatively smaller price reactions to the good news. This is consistent with Veronesi's rational expectations equilibrium model, which shows that investors demand higher expected returns in the face of greater uncertainty.