Gutierrez, RobertoPfiffer, Cameron2022-10-262022-10-262022-10-26https://hdl.handle.net/1794/27770I apply Bayesian methods to estimate parameters describing the relationship between firm earnings and unobserved common earnings shocks. I estimate a firm’s Bayesian cash-flow beta, which measures the comovement between firm earnings and a latent aggregate earnings factor, along with estimating the uncertainty about the firm’s cash-flow beta. Firms with high parameter uncertainty have higher expected stock returns and lower stock price reactions to earnings, consistent with investors’ rational learning in the presence of parameter uncertainty. A novel measure summarizes the capacity of a firm’s earnings news to convey information about the macroeconomic state and reveals that earnings responses and announcement risk premia increase with a firm’s informativeness. The most informative firms tend to announce earlier in earnings seasons.en-USAll Rights Reserved.Electronic Thesis or Dissertation