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Uncertainty-Embedded Financial Data and Stock Returns delves into the significant role of conservative accounting in encapsulating various types of uncertainty present in a company’s operations. The monograph evaluates the potential of this financial data to assess risk and predict stock returns effectively. It questions the traditional usage of cross-sectional return regression to categorize financial ratios as “risk factors,” arguing that this method may be fundamentally flawed. While an accounting measure might aid in estimating a firm’s expected stock return, it may not necessarily mirror the inherent risks in the company’s operations. The study draws a clear distinction between conditional and unconditional conservative accounting practices, underscoring how they encapsulate different aspects of uncertainty, leading to varied relationships between financial data and projected stock returns. The monograph bolsters its assertions with empirical evidence, meticulously dissecting the market-to-book premium based on the accounting principles utilized.