Reaction to public information in markets: how much does ambiguity matter?
Full text is not in this repository.
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.
|Research Areas:||A. > Business School > Economics|
|Depositing User:||Users 3197 not found.|
|Date Deposited:||18 Sep 2013 14:36|
|Last Modified:||19 Apr 2017 09:45|
Actions (login required)