Ambiguous Information, Portfolio Inertia, and Excess Volatility

• 成果类型: Article
• 署名作者: Illeditsch, Philipp Karl
• 署名单位: University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2011.01693.x
• 发表日期: 2011
• 页码: 2213-2247
• 关键词: LIMITED MARKET PARTICIPATION; risk-aversion; asset; uncertainty; QUALITY; beliefs; MODEL

摘要

I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess volatility. Specifically, when news is surprising, investors may not react to price changes even if there are no transaction costs or other market frictions. Moreover, I show that small shocks to cash flow news, asset betas, or market risk premia may lead to drastic changes in the stock price and hence to excess volatility.