Asset pricing theory notes that different types of investor uncertainty can have directionally different effects on cost of equity. Empirical studies of costs of equity, however, generally assume that different types of uncertainty are independent or have the same directional effect. We relax...

This study examines the differential predictive power of past earnings volatility for analyst forecast errors and future returns. Past earnings volatility jointly captures two correlated, but distinct, earnings properties: time-series earnings variation and uncertainty in future earnings. To...