Information Uncertainty and Stock Returns
Date Issued
2006
Date
2006
Author(s)
Lin, Tse-Feng
DOI
zh-TW
Abstract
There are many substantial evidences of short-term stock price continuation, the prior literatures often attribute it to investor behavioral biases, for example, the underreaction to new information in the market. If short-term stock price continuation is due to investor behavioral biases, we should see the greater stock price anomalies under greater information uncertainty. As a result, the greater information uncertainty is expected to generate relatively higher future returns following good news and relatively lower future returns following bad news. This paper investigates the effects to stock price continuation and cross-section returns under information uncertainty.
Subjects
行為財務學
股價慣性
Information Uncertainty
Behavioral Finance
Stock Price Continuation
Type
thesis
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