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 … estimator characteristic (e.g. bias), are inadequate for generalized Bayesian analysis. Methods that deny information a Bayesian …

We analyze whether the timing of public information releases affects risk-sharing and pricing in a pure exchange … economy. Information releases do not matter if agents have time additive preferences, homogeneous beliefs and access to … complete markets. In the case of heterogeneity in agents' beliefs, we are able to show analytically that early information …

Information gathering is an instinctive response to uncertainty, but such efforts may not fully resolve the uncertainty … that prompted them. This implies that proxies for investor information gathering may endogenously reflect investor … uncertainty, not only before but also after information collection. I find evidence consistent with this pattern using data on …

Most macroeconomic data is continuously revised as additional information becomes available. We suggest that revisions …

The value of information is examined in a risk-sharing environment with unawareness and complete markets. Information … show with examples that public information can make some agents strictly better off at the expense of others, contrasting … the standard results of Hirshleifer [1971] and Schlee [2001] that the value of public information is negative for all when …

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 …

In this paper, we revisit the conventional view on efficient risk sharing that advance information on future shocks is … signals are informative. In this case, we show that better public information can improve the allocation of risk when private …