TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES

• 成果类型: Article
• 署名作者: Mukerji, Sujoy; Ozsoylev, Han N. N.; Tallon, Jean-Marc
• 署名单位: University of London; Queen Mary University London; Ozyegin University; Centre National de la Recherche Scientifique (CNRS); Paris School of Economics; Paris School of Economics; Centre National de la Recherche Scientifique (CNRS)
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12627
• 发表日期: 2023
• 页码: 1127-1164
• 关键词: portfolio choices; expected utility; Estimation risk; asset prices; INFORMATION; beliefs; MARKET; preferences; parameter; liquidity

摘要

We consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity-averse investors whose preferences are a parsimonious extension of the mean-variance framework. We study portfolio choice and trade upon arrival of public information, and show systematic departures from the predictions of standard theory, that occur in the direction of empirical regularities. In particular, our theory speaks to several phenomena in a unified fashion: the asset allocation puzzle, the observation that earnings announcements are followed by significant trading volume with small price change, and that increases in uncertainty are positively associated with increased trading activity and portfolio rebalancing toward safer assets.