Information in Equity Markets with Ambiguity-Averse Investors

• 成果类型: Article
• 署名作者: Caskey, Judson A.
• 署名单位: University of California System; University of California Los Angeles
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhn062
• 发表日期: 2009
• 页码: 3595
• 关键词: FULLY REFLECT; stock-prices; uncertainty; earnings; RISK; accruals; TRADE; MODEL; cost

摘要

This paper shows that persistent mispricing is consistent with a market that includes ambiguity-averse investors. In particular, ambiguity-averse investors may prefer to trade based on aggregate signals that reduce ambiguity at the cost of a loss in information. Equilibrium prices may therefore fail to impound publicly available information. While this creates profit opportunities for ambiguity-neutral investors, ambiguity-averse investors perceive that the benefit of ambiguity reduction outweighs the cost of trading against investors who have superior information. The model can explain both underreaction, such as that evident in postearnings announcement drifts and momentum, and overreaction to accounting accruals.