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2023
- handle: 10670/1.i89ecz
- halshs: halshs-03962563
- doi: 10.1111/iere.12627
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info:eu-repo/semantics/altIdentifier/doi/10.1111/iere.12627
info:eu-repo/semantics/OpenAccess
Mots-clés
Ambiguity Ambiguity aversion Earnings announcements Parameter uncertainty Portfolio choice Trading volume Uncertainty shocks Ambiguity D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty G - Financial Economics/G.G1 - General Financial Markets/G.G1.G11 - Portfolio Choice • Investment Decisions G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest RatesSujets proches
Scrip Investment securities Securities law Capitalization (Finance) Blue sky laws Securities--Law and legislation Portfolio Underwriting Investing Investment management PortfolioCiter ce document
Sujoy Mukerji et al., « Trading ambiguity: a tale of two heterogeneities », HAL-SHS : économie et finance, ID : 10.1111/iere.12627
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Résumé
We consider nancial markets with heterogeneously ambiguous assets and heterogeneously ambiguity averse investors. Investors' preferences, a version of the smooth ambiguity model, are a parsimonious extension of the standard mean-variance framework. We consider, in a uni ed setting, portfolio choice, and trade upon arrival of public information, and show, in both cases, there are systematic departures from the predictions of standard theory. These departures are of signi cance as they occur in the direction of empirical regularities that belie the standard theory. In particular, our theory speaks to several puzzling phenomena in a uni ed fashion: the asset allocation puzzle, the observation that earnings announcements are often followed by signi cant trading volume with small price change, and that increases in uncertainty are positively associated with increased trading activity and portfolio rebalancing toward safer assets by individual (retail) investors