Replication Data: Uncertainty About What Is in the Price

Creators:
Joel Peress, Daniel Schmidt
Publication Date:
2024-08-01
Data Category:
Dataset Description:
This dataset, hosted on Mendeley Data, contains the replication data for the study "Uncertainty About What Is in the Price" (Peress & Schmidt, 2024, Journal of Financial Economics). It includes stock-level data used to examine how uncertainty about the information content of asset prices affects investor behaviour, trading activity, and return predictability in equity markets.
Variables:
Details:

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