When the imminence of news announcements is not public knowledge, many traders will lack information on both the mean … and variance of private information. Our analysis of such a setting in both single and multi-security contexts implies … that disclosure of impending information events by firms can bound variance uncertainty and thereby improve investor …

ability to evaluate securities, in the sense that they overestimate the precision of their private information signals. The … implies overreaction to private information arrival and underreaction to public information arrival. This is consistent with …