This paper theoretically investigates the effect of uncertainty about future investment on expected stock returns … explain the value premium. Second, we investigate how uncertainty about investment affects expected stock returns. Based on … the closed-form solution in our framework, we suggest that less uncertainty about investment induces lower expected stock …

significant amplifying role for market uncertainty in the relation between sentiment and aggregate investment. A one …-standard-deviation increase in uncertainty more than doubles the effect of sentiment on investment. Moreover, allowing uncertainty …The effects of sentiment should be strongest during times of heightened valuation uncertainty. As such, we document a …

announcement return is negatively correlated to future investment only if there is time-varying uncertainty. Consistent with the …We argue the earnings announcement premium is a measure of firm-specific uncertainty aversion. Our stylized model shows … earnings announcements, as pure news events, are priced only if investors are uncertainty averse; further, the earnings …

premium once time variation in investment opportunities is accounted for; in most cases, Bayesian learning lowers the …

This paper investigates the impact of economic policy uncertainty (EPU) on firms’ investment sensitivity to their peers …’ stock prices. We find that investment increasingly responds to the variation of peers’ prices during the high policy … uncertainty period in China. To deal with the increasing uncertainty, managers need more information when making investment …

spectrum among the countries of this group because of the relevance of this information to investors, traders and policy makers …