Uncertainty, Information Acquisition, and Price Swings in Asset Markets

• 成果类型: Article
• 署名作者: Mele, Antonio; Sangiorgi, Francesco
• 署名单位: Swiss Finance Institute (SFI); Universita della Svizzera Italiana; Centre for Economic Policy Research - UK; Stockholm School of Economics
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdv017
• 发表日期: 2015
• 页码: 1533-1567
• 关键词: updating ambiguous beliefs; expected utility; multiple-priors; CHOICE; complementarities; portfolio; aversion; MODEL

摘要

This article analyses costly information acquisition in asset markets with Knightian uncertainty about the asset fundamentals. In these markets, acquiring information not only reduces the expected variability of the fundamentals for a given distribution (i.e. risk). It also mitigates the uncertainty about the true distribution of the fundamentals. Agents who lack knowledge of this distribution cannot correctly interpret the information other investors impound into the price. We show that, due to uncertainty aversion, the incentives to reduce uncertainty by acquiring information increase as more investors acquire information. When uncertainty is high enough, information acquisition decisions become strategic complements and lead to multiple equilibria. Swift changes in information demand can drive large price swings even after small changes in Knightian uncertainty.