Information Uncertainty and Stock Returns

Keywords

Stock (firearms), Financial economics, Econometrics, Economics, Business

References

• The Effect of Ex Ante Earnings Uncertainty on Earnings Response Coefficients.Eugene A. Imhoff, Gerald J. Lobo — 1992
• Using analysts' forecasts to measure properties of analysts' information environment.Orie E. Barron, Oliver Kim, Steve C. Lim — 1998
• Corporate Disclosure Policy and Analyst Behavior.Mark H. Lang, Russell J. Lundholm — 1996
• Dispersion in Analysts' Earnings Forecasts as a Measure of UncertaintyOrie E. Barron, Pamela S. Stuerke — 1998
• Disclosure level and the cost of equity capital.Christine A. Botosan — 1997
• The effect of estimation risk on optimal portfolio choiceRoger Klein, Vijay S. Bawa — 1976
• Differential Information and Security Market EquilibriumChristopher B. Barry, Stephen J. Brown — 1985
• The arbitrage theory of capital asset pricingStephen A. Ross — 1976
• The Persistence of Mutual Fund PerformanceMark Grinblatt, Sheridan Titman — 1992
• Evidence that stock prices do not fully reflect the implications of current earnings for future earningsVictor L. Bernard, Jacob K. Thomas — 1990
• Equilibrium pricing and portfolio composition in the presence of uncertain parametersJeffrey L. Coles, Uri Loewenstein — 1988
• Information Uncertainty and Expected ReturnsGuohua Jiang, Charles M.C. Lee, Grace Yi Zhang — 2005
• Implications of Security Market Data for Models of Dynamic EconomiesLars Peter Hansen, Ravi Jagannathan — 1991
• Analyst Forecast Revisions and Market Price DiscoveryCristi A. Gleason, Charles M.C. Lee — 2003
• A Re‐examination of Disclosure Level and the Expected Cost of Equity CapitalChristine A. Botosan, Marlene Plumlee — 2002
• Rationality and Analysts' Forecast BiasTerence Lim — 2001
• Investor Psychology and Asset PricingDavid Hirshleifer — 2001
• Information and the Cost of CapitalMaureen O’Hara, David Easley — 2004
• The Profitability of Momentum StrategiesLouis K.C. Chan, Narasimhan Jegadeesh, Josef Lakonishok — 1999
• Market efficiency, long-term returns, and behavioral finance 1 The comments of Brad Barber, David HiEugene F. Fama — 1998

Cited by

• Pricing of Pyramidal FirmsPramuan Bunkanwanicha, Kulpatra Sirodom, Yupana Wiwattanakantang — 2009
• Essays in cross-sectional asset pricingScott Cederburg — 2011
• The sensitivity of Fama-French factors to economic uncertaintyAmélie Charles, Olivier Darné, Zakaria Moussa — 2014
• Investor Attention to Salient Features of Analyst ForecastsVasiliki E. Athanasakou, Ana Simpson — 2014
• The Dynamics of Smoothing: What Drives Appraisal Smoothing?Youngha Cho, Soosung Hwang, Yongki Lee — 2011
• Corporate Transparency and Bond LiquidityFalko Fecht, Roland FFss, Philipp Rindler — 2014
• The impact of information uncertainty on stock price performance and managers' equity financing decisionHua Jun — 2011
• Essays on Stock Market Liquidity and Liquidity Risk PremiumShu Tian — 2010
• Application of pattern recognition to portfolio managementDaniël Jacobus Swart — 2011
• The economic consequences of accounting for derivativesAbiot Tessema — 2013
• Investisseurs et Marchés Financiers : du comportement des agents à la formation de prix d'équilibreMamadou Abdoulaye Konté — 2010
• Analyst underreaction and the post‐forecast revision driftPo‐Chang Chen, Ganapathi S. Narayanamoorthy, Theodore Sougiannis — 2020
• Investor Overconfidence, Turnover, Volatility and the Disposition Effect: A Study Based on Price Target UpdatesRoy Zuckerman — 2009
• Essays in asset pricingAndrea Vedolin — 2010
• Four essays on return behaviour and market microstructures : evidence from the Saudi stock marketAhmed Alzahrani — 2009
• Sources and practicality of momentum profits: evidence from the UK marketSina Badreddine — 2009
• Anomalous market reaction to bankruptcy filingsLuís Miguel Serra Coelho, Richard Taffler — 2008
• Internal Liquidity Risk in Corporate Bond Yield Spreads: Bond- and Market-Level EvidencesHsien-Hsing Liao, Tsung‐Kang Chen, tsai pei-ling — 2009
• Momentum Trading Strategies in Financial MarketsReza Tajaddini — 2013
• Essays on information asymmetry and the firmMiaomiao Yu — 2012

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