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 generalized Bayesian analysis. Methods that deny information a Bayesian …

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 … simple changes in option-implied volatilities to study information gleaned from earnings announcements. Finally, we apply our …