Corrado, Charles J; Jordan, Bradford D - In: Review of Quantitative Finance and Accounting 8 (1997) 1, pp. 51-68
We reexamine and extend tests of the uncertain information hypothesis (UIH) proposed by Brown, Harlow, and Tinic (1988, 1993). We find that their empirical results are sensitive to the sampling procedure employed and that their particular methodology does not sufficiently distinguish between...