Information uncertainty and expected returns

• 成果类型: Article; Proceedings Paper
• 署名作者: Jiang, GH; Lee, CMC; Zhang, Y
• 署名单位: Peking University; Cornell University; Barclays
• 刊物名称: REVIEW OF ACCOUNTING STUDIES
• ISSN/ISSBN: 1380-6653
• DOI: 10.1007/s11142-005-1528-2
• 发表日期: 2005
• 页码: 185-221
• 关键词: cross-section; INVESTOR PSYCHOLOGY; MARKET; RISK; equilibrium; arbitrage; momentum; price

摘要

This study examines the role of information uncertainty (IU) in predicting cross-sectional stock returns. We define IU in terms of value ambiguity, or the precision with which firm value can be estimated by knowledgeable investors at reasonable cost. Using several different proxies for IU, we show that (1) on average, high-IU firms earn lower future returns (the mean effect), and (2) price and earnings momentum effects are much stronger among high-IU firms (the interaction effect). These findings are consistent with analytical models in which high IU exacerbates investor overconfidence and limits rational arbitrage.