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Do I Really Want to Hear The News? Public Information Arrival and Investor Beliefs

This paper shows that public information arrival affects investor beliefs and disagreement through a new channel: the uncertainty of beliefs (UOB). Based on novel daily measurement of belief uncertainty and disagreement, disagreement and trading are lower when UOB is higher. Higher UOB also dampens the relationship between disagreement and trading volume. The paper also highlights novel patterns of disagreement and trading around public news. For clarifying news like earnings announcements, information arrival reduces UOB, which naturally 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 information increase UOB while decreasing disagreement and trading.