Do I Really Want to Hear the News? Public Information Arrival and Investor Beliefs

This paper highlights a new wedge between belief updates and trading decisions by investors using new daily measures. High uncertainty of beliefs (UOB) negatively relates to trading and dampens the relation between disagreement and trading. UOB 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 UOB, which amplifies disagreement and trading. Consistent with learning, UOB decreases more for events with more attentive investors and for firms with a better information environment. By contrast, unscheduled events with opaque information increase UOB, while decreasing disagreement and trading.

Keywords: Investor Disagreement, Investor Beliefs, Differences of Opinions, Gradual Information Diffusion, 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 Really Want to Hear the News? Public Information Arrival and Investor Beliefs (February 2023). Available at SSRN: https://ssrn.com/abstract=3631760 or http://dx.doi.org/10.2139/ssrn.3631760