...Yuandong Xu Purpose – The empirical studies have indicated that the information uncertainty is one of the reasons leading to the momentum effect in the stock market. Based on this conclusion, the concept of “information uncertainty” is deepened into the concept hierarchy of “information ambiguity...

... magnitudes of momentum effect even after controlling for size. The abnormal returns are both economically and statistically significant, and cannot be explained by the Fama‐French factors. Originality/value This study provides both an information‐based theory to explain the momentum anomaly and empirical...