Do I Really Want to Hear the News? Public Information Arrival and Investor Beliefs
83 Pages Posted: 14 Jul 2020 Last revised: 16 Feb 2023
Date Written: February 2023
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