distributions to measure the uncertainty of the industry index returns (IIR) of Tehran Stock Exchange over the period of 2013 … forecastable component (expected variation) from the best fitted models, we measure the time series of the IIR uncertainty …) model. We find that foreign exchange rate fluctuations have a significant and distinct impact on the IIR uncertainty across …

expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of …. Uncertainty, in contrast, increases the response. We rationalize our findings in a model of imperfect information. In the model … content of indicators, while higher fundamental uncertainty makes this informational content more valuable. …