Information Uncertainty and Stock Returns

• 成果类型: Article
• 署名作者: Zhang, XF
• 署名单位: Yale University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2006.00831.x
• 发表日期: 2006
• 页码: 105-136
• 关键词: SECURITY MARKET; INVESTOR PSYCHOLOGY; DISCLOSURE LEVEL; earnings; cost; size

摘要

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.