We revisit the role of time in measuring the price impact of trades using a new empirical method that combines spread …

I employ a parsimonious model with learning but without conditioning information to extract time-varying measures of … market-risk sensitivities, pricing errors and pricing uncertainty. Parameters estimated for U.S. equity portfolios show … significant fluctuations, along patterns that change across size and book-to-market categories of stocks. Time-varying betas …

extending existing theories through the incorporation of the "Uncertainty Structure Hypothesis". Our hypothesis states that … uncertainty plays a pivotal role in shaping the weekly pattern of day-of-the-week effect. A meta-analysis is conducted to explain … heterogeneity of primary study results and to identify uncertainty as an underlying factor. We include 85 primary studies from 61 …