Do I ReallyWant to Hear The News? Public Information Arrival, Ambiguity and Investor Beliefs

This paper highlights a new wedge between belief disagreement and trading using new daily
measures. High ambiguity negatively relates to trading and dampens the relation between
disagreement and trading. Ambiguity also plays an important role in how disagreement and
trading evolve around firm-specific news events. For clarifying news like earnings announcements,
information arrival reduces ambiguity, which increases both disagreement and trading.
Consistent with learning, ambiguity decreases more for events with more attentive investors
and for firms with a better information environment. By contrast, unscheduled events with
opaque information increase ambiguity, while decreasing disagreement and trading.

Keywords: Disagreement, Trading, Knightian Uncertainty, Ambiguity, News, Investor Attention

JEL Classification: D83, G11, G12, G40

Suggested Citation: Suggested Citation

Ben-Rephael, Azi and Cookson, J. Anthony and Izhakian, Yehuda (Yud), Do I ReallyWant to Hear The News? Public Information Arrival, Ambiguity and Investor Beliefs (February 1, 2023). Available at SSRN: https://ssrn.com/abstract=3631760 or http://dx.doi.org/10.2139/ssrn.3631760