Ambiguity about volatility and investor behavior

• 成果类型: Article
• 署名作者: Kostopoulos, Dimitrios; Meyer, Steffen; Uhr, Charline
• 署名单位: University of Southern Denmark; University of Southern Denmark; Danish Finance Institute
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2021.07.004
• 发表日期: 2022
• 页码: 277-296
• 关键词: Ambiguity; uncertainty; individual investor; risk-taking; Trading behavior

摘要

We relate time-varying aggregate ambiguity about volatility (V-VSTOXX) to individual investor trading. We use the trading records of more than 10 0,0 0 0 individual investors from a large German online brokerage from March 2010 to December 2015. We find that an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk-taking, which does not reverse over the following days. Ambiguity averse investors are more prone to ambiguity shocks. These results replicate when using the dispersion of professional forecasters as a long-term measure of ambiguity and are robust when controlling for newspaper-or market-based ambiguity measures.(c) 2021 Elsevier B.V. All rights reserved.