with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive … ability of sentiment for market returns by two to four times relative to when uncertainty is at its mean. We find similar … sensitive to sentiment and for anomaly returns is substantially larger in times of higher uncertainty. The results hold for both …

The properties of information, including "information uncertainty", can be understood only Bayesianly. Common … formulations that define information uncertainty in terms of just statistical "precision" (i.e. sampling variance), or any one … affecting f(x|φ,⋅), information uncertainty alters posterior beliefs f(φ|x,⋅), and therefore also asset prices and expected …

trading, we present a model in which informed and uninformed traders face uncertainty about the composition of traders … (composition uncertainty). We characterize the equilibrium in both the information and financial markets. Composition uncertainty … uncertainty …

We develop a firm-specific measure of valuation uncertainty from the distribution of valuations predicted by an … valuation uncertainty is conducive to valuation mistakes. A value-like long-short strategy is particularly profitable among high … valuation uncertainty stocks. Stocks in the short leg earn average returns indistinguishable from the risk-free rate – turning …

Prior research finds conflicting results on the impact of uncertainty on voluntary firm disclosure. Our paper sheds … exploits firms’ differential exposure to aggregate uncertainty shocks in currencies, energy and policy. We show that an … increase in firm-level uncertainty increases the propensity of firms to issue management forecasts and the number of management …

is diminished in times of distress, resulting in countercyclical uncertainty. Building on a rational expectations … amplification mechanism that delivers sharp spikes in economic uncertainty as funding becomes tighter. The mechanism can explain the …

This paper examines if overreaction of oil price forecasters is related to uncertainty. Furthermore, it takes into … is markedly reduced when high levels of uncertainty prevail. On the other hand, noisy signals and positive oil price …

uncertainty, which cannot be reduced to a probability distribution, underpins outcomes in the stock market. This finding reveals … the consumption-based specification of the risk premium. The relevance of Knightian uncertainty is inconsistent with all … Expectations Hypothesis, which recognizes the relevance of Knightian uncertainty in driving outcomes in real-world markets. Their …