When does policy-related macroeconomic uncertainty improve information efficiency? Evidence from post-revenue announcement drift in Taiwan

This study examines how policy-related macroeconomic uncertainty reshapes the pricing of firm-level operating information by focusing on post–revenue-announcement drift (PRAD) in Taiwan, a market with mandatory monthly revenue disclosures and a retail-dominated investor base. Using record-high revenue announcements from 2013 to 2024, we find that greater policy-related macroeconomic uncertainty, measured by the Taiwan-specific World Uncertainty Index (TWUI), is associated with weaker PRAD. This finding is robust to alternative specifications and endogeneity adjustments and is more pronounced among firms with greater information asymmetry and in less competitive industries. Channel analysis indicates that the TWUI–PRAD relation is partially mediated by lower stock price synchronicity, consistent with uncertainty reallocating investor attention towards firm-specific operating signals and reducing underreaction. Spillover analyses further show that the dampening effect of TWUI persists after accounting for global, regional, and geopolitical risks and intensifies during heightened global or geopolitical shocks. Overall, the findings suggest that policy-related macroeconomic uncertainty may facilitate more efficient price adjustment in a high-frequency disclosure environment, offering a more nuanced perspective than the conventional view that uncertainty primarily increases opacity and mispricing.