Information Uncertainty and Stock Returns

By Frank Zhang. 2004

1,743 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/b753f9cc8abbf83420aff96d04d8cd57d415fa94

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Citations in the corpus

Textual analysis in finance (2019, background): “…effect due to uncertainty, Starks and Sun (2016) argue that in times with higher uncertainty flow-performance sensitivity decreases in mutual funds and Zhang (2006) evidences that the greater information uncertainty about firms, the greater reaction of the market following new informations.”
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance (2014, background): “…(1987)); transaction costs (Mech (1993)); asymmetric information (Brennan, Jegadeesh, and Swaminathan (1993)); ambiguous (uncertain) information (Zhang (2006)); the slow transmission of information across investors (Hong and Stein (1999), Hong, Lim, and Stein (2000)); investor inattention that…”
Demand Uncertainty and Cost Behavior (2014, methodology): “The use of standard deviation as an empirical proxy for uncertainty is standard in the literature (e.g., Dechow and Dichev 2002; Kothari, Laguerre, and Leone 2002; Zhang 2006; Dichev and Tang 2009), and the standard deviation of log-changes in sales is commonly used as a measure of demand uncertaint”
Individual Investor Perceptions and Behavior During the Financial Crisis (2013, positive): “disagreement between different investors), we use the monthly cross-sectional standard deviation of the perception measures (Doukas, Kim, and Pantzalis 2006; Zhang 2006; Güntay and Hackbarth 2010; Banerjee 2011).”
Momentum Profits, Factor Pricing, and Macroeconomic Risk (2008, positive): “For example, Rouwenhorst (1998) finds a similar phenomenon in international markets.”
Information Environment and the Investment Decisions of Multinational Corporations (2013, background): “2004), lower information uncertainty (Zhang 2006) and greater”
High idiosyncratic volatility and low returns: International and further U.S. evidence (2008, positive): “In a recent paper, Ang, Hodrick, Xing and Zhang (2006) (hereafter AHXZ) show that volatility of the market return is a priced cross-sectional risk factor.”
Boardroom Centrality and Firm Performance (2013, methodology): “information uncertainty surrounding the profitability of young firms (Zhang (2006)).”
Information Uncertainty, Information Asymmetry and Corporate Bond Yield Spreads (2010, background): “Zhang (2006) defined information uncertainty as the ambiguity in implications of new information for a firm’s value, which potentially stems from two sources: ‘‘the volatility of a firm’s underlying fundamentals and poor information.””
An Automated Framework for Incorporating News into Stock Trading Strategies (2014, background): “Index Terms—Computer applications, evolutionary computing and genetic algorithms, learning, natural language processing, web text analysis Ç”