This paper analyzes, using time-series data, the cross-sectional evidence that higher stock return uncertainties increases short-term stock price continuation phenomena. Exploiting time-varying conditional variance as a measure of information uncertainty, the paper finds that the cross-sectional evidence is only partially supported. This conclusion does not change when the measure of uncertainty is substituted by the variances obtained from moving window. An interesting finding is that as the firm size decreases, the period during which first-order auto- correlations of stock returns are negative increases.