Motivated by the idea that investors take time to learn about important corporate attributes, we conducted a comprehensive analysis of the uncertainty dynamics in the ten-week window following 10-K filings.
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In financial markets, asset prices are meant to reflect the value of the company. But other factors influence price – information being among the most important ones. Intuitively, having more information about a company’s performance should reduce uncertainty about its stock prices. However, the results of recent empirical studies ran contrary to this intuition. Our research indicates that the timing of information disclosures matters and that the impact of information on volatility is highly contingent on the elapsed time since the disclosure.
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