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

We provide new empirical evidence on the implications of public information arrival for investors' beliefs, using a daily measure of dispersion (uncertainty) of beliefs about firm underlying return distribution. Consistent with convergence in beliefs (less disagreement), the arrival of public firm-specific information reduces beliefs dispersion. The effect is stronger for events that are salient, have media coverage, and attract institutional investors' attention. The effect of macroeconomic announcements is weaker than the effect of firm-specific events. In contrast, events involving frictions between firm stakeholders increase beliefs dispersion.