Financial ambiguity and the flow of public information

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.