Reaction to Public Information in Markets: How much does Ambiguity Matter?*

被引：16
作者：
Corgnet, Brice
Kujal, Praveen
Porter, David
机构：
[1] Chapman Univ, Argyros Sch Business & Econ, Econ Sci Inst, Orange, CA USA
[2] Univ Carlos III, Dept Econ, Madrid, Spain
来源：
ECONOMIC JOURNAL | 2013年 / 123卷 / 569期
关键词：
SPOT ASSET MARKETS; KNIGHTIAN UNCERTAINTY; BUBBLES; AVERSION; RISK; EXPECTATIONS; EQUILIBRIUM; EFFICIENCY; RETURNS; CRASHES;
D O I：
10.1111/j.1468-0297.2012.02557.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this article, we experimentally study trader reaction to ambiguity when dividend information is revealed sequentially. Our results indicate that the role of ambiguity aversion in explaining financial anomalies is limited. Specifically, price changes are consistent with news revelation regarding the dividend, independent of subject experience and the degree of ambiguity. In addition, there is no under or overprice reactions to news. Regardless of experience, market reaction to news moves in line with fundamentals. We find no significant differences in the control versus ambiguity treatments regarding prices, price volatility and trading volume for experienced subjects.
引用
收藏
页码：699 / 737
页数：39
相关论文
共 52 条
[11]  
CURLEY SP, 1985, ORG BEHAV HUMAN DECI, V36, P272
[12]   Investor psychology and security market under- and overreactions [J].
Daniel, K ;
Hirshleifer, D ;
Subrahmanyam, A .
JOURNAL OF FINANCE, 1998, 53 (06) :1839-1885
[13]   Rank-sum tests for clustered data [J].
Datta, S ;
Satten, GA .
JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2005, 100 (471) :908-915
[14]   DOES THE STOCK-MARKET OVERREACT [J].
DEBONDT, WFM ;
THALER, R .
JOURNAL OF FINANCE, 1985, 40 (03) :793-805
[15]  
Dickhaut J. W, 2009, WORKING PAPER
[16]   EXCESS VOLATILITY OF STOCK-PRICES AND KNIGHTIAN UNCERTAINTY [J].
DOW, J ;
WERLANG, SRD .
EUROPEAN ECONOMIC REVIEW, 1992, 36 (2-3) :631-638
[17]   UNCERTAINTY AVERSION, RISK-AVERSION, AND THE OPTIMAL CHOICE OF PORTFOLIO [J].
DOW, J ;
WERLANG, SRD .
ECONOMETRICA, 1992, 60 (01) :197-204
[18]   The effects of imprecise probabilities and outcomes in evaluating investment options [J].
Du, N ;
Budescu, DV .
MANAGEMENT SCIENCE, 2005, 51 (12) :1791-1803
[19]   Bubbles and experience: An experiment [J].
Dufwenberg, M ;
Lindqvist, T ;
Moore, E .
AMERICAN ECONOMIC REVIEW, 2005, 95 (05) :1731-1737
[20]   Ambiguity and Nonparticipation: The Role of Regulation [J].
Easley, David ;
O'Hara, Maureen .
REVIEW OF FINANCIAL STUDIES, 2009, 22 (05) :1817-1843
123456