risk can explain this regularity …

We develop a measure of how information events impact investors' perceptions of risk that is broadly applicable and … simultaneously conveys information on the announcer's expected future cash flows and risk profile. We empirically implement the … forecasting power for firms' risk-factor exposures, implied costs of capital, liquidity, and future investments. We also apply our …

. Our empirical findings show that: (1) industries with higher sunk capital costs and profit uncertainty have significantly …