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Financial ambiguity and the flow of public information

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  • Ayoub, Mahmoud
  • Qadan, Mahmoud

Abstract

We compute the daily ambiguity of the S&P 500 using high-frequency (one-minute) data from 1998 to 2022. Ambiguity is defined as the variability in return distributions throughout the trading day. The findings reveal that ambiguity fluctuates across weekdays with a clear tendency to peak on Mondays, drops significantly on Wednesdays and Thursdays, and rises slightly on Fridays, forming a smile-like pattern. We attribute this pattern to the timing of macroeconomic news releases. Specifically, more (less) macroeconomic news is associated with lower (higher) ambiguity. Our results remain robust to a battery of robustness checks and ambiguity measures.

Suggested Citation

  • Ayoub, Mahmoud & Qadan, Mahmoud, 2025. "Financial ambiguity and the flow of public information," Finance Research Letters, Elsevier, vol. 81(C).
    • Handle: RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325008037
    DOI: 10.1016/j.frl.2025.107544
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    Keywords

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    JEL classification:

    • D53 - Microeconomics - - General Equilibrium and Disequilibrium - - - Financial Markets
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G1 - Financial Economics - - General Financial Markets

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