Firm-level uncertainty is difficult to measure in nature. We construct a new measure of firm-level information uncertainty based on uncertainty premium implied by earnings announcement returns. This new measure fundamentally differs from other firm-level uncertainty measures. We find that high-uncertainty firms outperform low-uncertainty firms by 9.59 % per annum on a risk-adjusted basis. Furthermore, this return predictability persists for up to five quarters. Our uncertainty measure and its return predictability are primarily driven by the idiosyncratic component. Overall, our results support the existence of an uncertainty premium and cast doubt on the hedgeability of uncertainty.

中文翻译：

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公司层面信息不确定性的价格


公司层面的不确定性本质上很难衡量。我们根据盈利公告回报隐含的不确定性溢价构建了一种新的公司层面信息不确定性衡量标准。这项新措施与其他公司层面的不确定性措施有着根本的不同。我们发现，在风险调整的基础上，高不确定性公司的业绩每年比低不确定性公司高出 9.59%。此外，这种回报可预测性可持续长达五个季度。我们的不确定性度量及其回报可预测性主要由特殊成分驱动。总体而言，我们的结果支持不确定性溢价的存在，并对不确定性的对冲性产生了怀疑。