Economics, Econometrics and Finance
4 years ago

Information uncertainty drives stock returns, leading to higher expected gains.

The Journal of Finance
Information Uncertainty and Stock Returns
Frank Zhang

Paper Summary

The study looked at how uncertainty in information affects stock prices. They found that when there is more uncertainty, stock prices tend to continue in the same direction in the short term. This means that after good news, stock prices are expected to go up even more, and after bad news, stock prices are expected to drop even further. This suggests that investor behavior plays a role in how stock prices move in the short term.

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