In the U.S. stock and options markets from January 1996 to December 2013, we examine whether information uncertainty … the portfolios held by one month. In our results, changes in information uncertainty are in tandem with changes in implied …, we provide novel evidence that the uncertainty of information concerning a firm's fundamental underlying volatility …

The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …