Simple Bayesian learning models, such as those proposed by Lewellen and Shanken (2002) and Pastor and Veronesi (2003, 2006), suggest that new (additional) information reduces posterior variance of investor expectation for the unobservable. Consistent with such common wisdom, Dubinsky and...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...

Releases of key macroeconomic indicators are closely watched by financial markets. We investigate the role of expectation dispersion and economic uncertainty for the stock-market reaction to indicator releases. We find that the strength of the financial market response to news decreases with the...