Ambiguity and Asset Markets
نویسندگان
چکیده
منابع مشابه
Ambiguity in Asset Markets: Theory and Experiment
This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes toward risk are heterogeneous across the population, but that heterogeneity of attitudes toward ambiguity has different implications than heterog...
متن کاملCognitive Biases, Ambiguity Aversion and Asset Pricing in Financial Markets∗
The behavior of agents in financial markets often displays biases or errors; for example, agents frequently do not compute probabilities correctly. However, we argue that these biases/errors are not always reflected in prices. In particular, we hypothesize that agents who make errors in computing probabilities lose confidence in their probability estimates when they face market prices that are ...
متن کاملAmbiguity, Information Acquisition and Price Swings in Asset Markets
This paper studies asset markets in which ambiguity averse investors face Knightian uncertainty about expected payo s. The same investors, however, might wish to resolve their uncertainty, although not risk, by just purchasing information. In these markets, uninformed and, hence, ambiguity averse, agents may coexist with informed agents, as a result of a rational information acquisition process...
متن کاملAmbiguity , Learning , and Asset Returns ∗
We develop a consumption-based asset-pricing model in which the representative agent is ambiguous about the hidden state in consumption growth. He learns about the hidden state under ambiguity by observing past consumption data. His preferences are represented by the smooth ambiguity model axiomatized by Klibanoff et al. (2005, 2006). Unlike the standard Bayesian theory, this utility model impl...
متن کاملAmbiguity, Information Quality, and Asset Pricing
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 fun...
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ژورنال
عنوان ژورنال: Annual Review of Financial Economics
سال: 2010
ISSN: 1941-1367,1941-1375
DOI: 10.1146/annurev-financial-120209-133940