We study learning and uncertainty under the factor investing paradigm using an endogenous information model with …-looking measure of attention to systematic versus firm-level information. Consistent with the model, the measure follows a regime …-switching process. The high-level regime is linked to lower stock price sensitivity to firm-specific information and a higher systematic …

Before information φ arrives, market observers must be uncertain whether the stock price conditioned on φ will be … condition of efficient markets, it is shown under the mean-variance CAPM that information which makes the future value of a firm … general, information that allows better discrimination between firms leads some firms to have higher costs of capital and …

Option-implied moments, like implied volatility, contain useful information about an underlying asset's return …

contains information of the hedge portfolio in Merton's (1973) ICAPM. Empirically, I find that from 1815 to 2018, more than two …

increasing information ratios. We show that information ratios can be increased by targeting constant volatility over time …

capture information related to changes in the investment opportunity set and therefore may appropriate candidates as state …