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Replication Data: Uncertainty About What Is in the Price

Creators: Joel Peress, Daniel Schmidt
Publication Date: 2024-08-01
Creators: Joel Peress, Daniel Schmidt

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.

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