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《information in equity markets with ambiguity-averse investors》由會(huì)員上傳分享，免費(fèi)在線閱讀，更多相關(guān)內(nèi)容在工程資料-天天文庫(kù)。
1、InformationinEquityMarketswithAmbiguity-AverseInvestorsJudsonA.CaskeyUCLA,AndersonSchoolofManagementThispapershowsthatpersistentmispricingisconsistentwithamarketthatincludesambiguity-averseinvestors.Inparticular,ambiguity-averseinvestorsmayprefertotradeDownloa
2、dedfrombasedonaggregatesignalsthatreduceambiguityatthecostofalossininformation.Equilib-riumpricesmaythereforefailtoimpoundpubliclyavailableinformation.Whilethiscreatespro?topportunitiesforambiguity-neutralinvestors,ambiguity-averseinvestorsperceivethatthebene?
3、tofambiguityreductionoutweighsthecostoftradingagainstinvestorswhohavesuperiorinformation.Themodelcanexplainbothunderreaction,suchasthatevidentinpostearningsannouncementdriftsandmomentum,andoverreactiontoaccountingaccruals.http://rfs.oxfordjournals.org/(JELD81,
4、G11,G14)Thisstudyexamineshowtheaggregationofinformationaffectsequitypriceswhensomeinvestorsareambiguity-averse,whileothershavepreferencesthatsatisfytheSavage(1954)axioms(hereafterSavageinvestors).1Ambiguityaversionreferstoadistasteforuncertaintyaboutthejointdi
5、stributionofinfor-mativesignalsandsecuritypayoffs.2Thispaperdemonstratesthatambiguityaversioncancauseinvestorstopreferaggregateinformationevenwhentheag-atUniversityofVirginiaonDecember3,2012gregatesignalisnotasuf?cientstatisticforitscomponents,andthereforeenta
6、ilsalossofinformationinaBlackwell(1953)sense.WhereasSavageinvestorsweaklypreferanaggregatesignalonlyifitisasuf?cientstatisticforitscom-ponents,ambiguity-averseinvestorsarewillingtotradestatisticalsuf?ciencyforareductioninambiguity.Itispossibleforaggregatesigna
7、lsthatdeviatefromsuf?ciencytoprovidegreaterreductionsinambiguitythanthosethatdonot.Asaconsequence,ambiguity-averseinvestors’preferenceforaggregateThispaperisbasedonmydissertationattheUniversityofMichigan’sStephenM.RossSchoolofBusiness.Iwouldliketothankmydisser
8、tationcommitteemembersIliaDichev,Raf?Indjejikian(chair),RussellLundholm,M.P.Narayanan,andEmreOzdenoren.IamgratefulforcommentsfromMichelleHanlon,JackHughes,DavidHirshleifer,JingLiu,
