Information Uncertainty and Expected Returns

By Guohua Jiang, Charles M. C. Lee, Yi Zhang. 2005

526 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/30ac75b7e1c9fb86c33266a7c929b9d471e3a31b

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Citations in the corpus

Financial reporting complexity and investor underreaction to 10-K information (2009, unknown): “ Jiang et al. (2005) , Zhang (2006), and Francis et al. (2007).”
Asymmetric Responses to Earnings News: A Case for Ambiguity (2015, unknown): “Following Jiang et al. (2005) and Zhang (2006), I use two proxies for information uncertainty: volatility of returns and volatility of cash flows.”
Retail investor attention and stock price crash risk: Evidence from China (2019, methodology): “(2016) and Jiang et al. (2017), we develop a new and composite RIA covering a broad set of RIA channels, including online searches through the Internet, posts on stock message boards, Internet news, and trading activities.”
The effect of target-firm accounting quality on valuation in acquisitions (2014, unknown): “In addition, target value uncertainty may arise from general information uncertainty rather than information asymmetry, where the target has private information (e.g., accounting information) it can disclose (e.g., Jiang et al. 2005).”
How disclosure quality affects the level of information asymmetry (2007, unknown): “is that the increased uncertainty makes it more costly to discover and profit from private information (Jiang et al. (2005)).”
Divergence of Opinion and Equity Returns (2006, background): “Unlike conventional asset pricing models that rely on the assumption of ho mogeneous expectations, the more recent literature emphasizes the importance of heterogeneous investor expectations suggesting that divergence of opinion prox ies for risk (see Williams (1977), Mayshar (1983), Epstein and Wan”
A Comparison of New Factor Models (2017, background): “…Hou and Robinson (2006) Hou and Robinson (2006) Age1 Firm age (1-month holding period), Age6 Firm age (6-month holding period), Jiang, Lee, and Zhang (2005) Jiang, Lee, and Zhang (2005) Age12 Firm age (12-month holding period), D1 Price delay based on R2, Jiang, Lee, and Zhang (2005) Hou and…”
Hard-to-Value Stocks, Behavioral Biases, and Informed Trading (2009, unknown): “, Kahneman and Tversky (1973), Kahneman (2003)). For instance, people exhibit greater levels of overconfidence when they engage in non-mechanical tasks and make decisions in relatively more difficult environments (e.g., Lichtenstein and Fischhoff (1975), Einhorn (1980), Griffin and Tversky (1992)).”
Information Uncertainty and Analyst Forecast Behavior (2006, unknown): “On the other hand, the evidence presented in this paper closely matches the return evidence on the post-revision drift papers (e.g., Stickel 1991; Jiang et al. 2005; and Zhang 2005), which share similar research designs.”
Accounting Quality, Stock Price Delay and Future Stock Returns (2013, unknown): “1 Jiang et al. (2005) and Zhang (2006) examine the relation between information uncertainty proxies, return momentum and future returns.”
Information Uncertainty, Information Asymmetry and Corporate Bond Yield Spreads (2010, background): “This definition of information uncertainty corresponds closely with the concept proposed by Jiang et al. (2005), who defined information uncertainty as ‘‘value ambiguity or the degree to which a firm’s value cannot be reasonably estimated by even the most knowledgeable investors.””