I show that variation in economy-wide uncertainty causes asymmetric stock price responses to firm earnings surprises. The uncertainty that attends bad earnings news that arrives during expansions with greater economy-wide uncertainty occasions larger price declines. This is because news...

Consistent with Bayesian learning models, I find that two types of uncertainty—market uncertainty and firm-signal uncertainty—have opposite effects on investors' learning from new information. I provide novel evidence that investor learning increases with the level of prior market...