; Liquidity trading ; Duration ; Volume ; Volatility …

characterization are bound to yield Bayesianly incorrect generalizations. In the Bayesian way of thinking, information risk impacts the …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 …

Before information φ arrives, market observers must be uncertain whether the stock price conditioned on φ will be … condition of efficient markets, it is shown under the mean-variance CAPM that information which makes the future value of a firm … general, information that allows better discrimination between firms leads some firms to have higher costs of capital and …

We develop a measure of how information events impact investors' expectations of risk. The measure is broadly … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk profiles, costs of capital, and future investments. We further highlight pitfalls of using …