Prior research has documented the role of information uncertainty in the cross-sectional variation in stock returns …. Miller (1977) hypothesizes that if information uncertainty is caused by differences of opinion, prices will reflect only the …, Merton (1974) asserts that default risk is a function of the uncertainty in the asset value process. Information uncertainty …

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 …

recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively …

investigate whether the change in the acquirer's information uncertainty contributes to acquirer wealth losses. Information … acquisitions lead to increases in information uncertainty, as proxied by analysts' earnings forecast dispersion. We also find that … the change in information uncertainty is negatively related to acquirer long-term stock performance, after controlling for …

recognize the influence of information uncertainty on the pricing of liquidity. Information uncertainty, which is positively …

ordinary common stocks (NonREITs). Thus, information does not appear to move between the private and public asset markets in …