Trading Ambiguity
A Tale of Two Heterogeneities
Bibliographic Data
| ID | 19038581 |
|---|---|
| Authors | Sujoy Mukerji (0000-0001-8299-6443, Queen Mary University of London U.K.), Han N Özsöylev (0000-0001-7761-8317, Özyeğin University Turkey), Jean‐Marc Tallon (0000-0003-1762-9633, Paris School of Economics, corresponding author) |
| Year | 2023 |
| Volume | 64 |
| Issue | 3 |
| Pages | 1127-1164 |
| Publication date | 2023-01-30 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | International Economic Review (JOURNAL) |
| Journal identifiers | ISSN: 0020-6598 • E-ISSN: 1468-2354 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1111/iere.12627 |
| OpenAlex | W3122434838 |
| Language | EN |
| References cited | 69 |
We consider markets with heterogeneously ambiguous assets and heterogeneously ambiguity‐averse investors whose preferences are a parsimonious extension of the mean–variance framework. We study portfolio choice and trade upon arrival of public information, and show systematic departures from the predictions of standard theory, that occur in the direction of empirical regularities. In particular, our theory speaks to several phenomena in a unified fashion: the asset allocation puzzle, the observation that earnings announcements are followed by significant trading volume with small price change, and that increases in uncertainty are positively associated with increased trading activity and portfolio rebalancing toward safer assets
Ambiguity · Ambiguity aversion · Asset allocation · Capital asset pricing model · Earnings · Econometrics · Economics · Financial economics · Microeconomics · Modern portfolio theory · Portfolio · Computer Science · Decision-Making and Behavioral Economics · Financial Markets and Investment Strategies · Housing Market and Economics · Finance
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| Highly cited | No |
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