Financial ambiguity and the flow of public information

Mahmoud Ayoub and Mahmoud Qadan

Finance Research Letters, 2025, vol. 81, issue C

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.

Keywords: Ambiguity smile; Day-of-week effect; Diversity of opinions; Knightian uncertainty; Macroeconomic announcements; Public information (search for similar items in EconPapers)
JEL-codes: D53 D81 D83 E44 G1 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:81:y:2025:i:c:s1544612325008037

DOI: 10.1016/j.frl.2025.107544

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