Discussion of “Information Uncertainty and Expected Returns”

Jiang, Lee, and Zhang (Review of Accounting Studies, 2005, this issue) show that stock returns are smaller for young firms, volatile stocks, high volume stocks, and stocks with long equity durations. In addition to having lower returns, momentum effects are particularly strong in these stocks. The focus of this discussion is on the informal behavioral model that is used to explain these results and how well the variables used in the study proxy for information uncertainty, the model’s focus.This revised version was published online in August 2005 with a corrected cover date.