Ambiguity, information quality, and asset pricing

• 成果类型: Article
• 署名作者: Epstein, Larry G.; Schneider, Martin
• 署名单位: Boston University; New York University; Federal Reserve System - USA; Federal Reserve Bank - Minneapolis
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01314.x
• 发表日期: 2008
• 页码: 197-228
• 关键词: EXCESS VOLATILITY; STOCK; predictability; exploration; MARKET

摘要

When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent negative effects on prices even if fundamentals do not change.