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...

Investors are said to "abhor uncertainty", but if there were no uncertainty they could earn only the risk-free rate. A fundamental result in the analytical accounting literature shows that investors buying into a CARA-normal CAPM market pay lower asset prices, earn higher expected returns, and...