Information Uncertainty and Stock Returns
研究信息不确定性如何影响股票价格的短期延续现象，发现信息不确定性越高，好消息后预期收益越高，坏消息后预期收益越低，支持投资者行为偏差假说。
ABSTRACT There is substantial evidence of short‐term stock price continuation, which the prior literature often attributes to investor behavioral biases such as underreaction to new information. This paper investigates the role of information uncertainty in price continuation anomalies and cross‐sectional variations in stock returns. If short‐term price continuation is due to investor behavioral biases, we should observe greater price drift when there is greater information uncertainty. As a result, greater information uncertainty should produce relatively higher expected returns following good news and relatively lower expected returns following bad news. My evidence supports this hypothesis.