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Article dans une revue International Economic Review Année : 2023

Trading ambiguity: a tale of two heterogeneities

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
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Dates et versions

halshs-03962563, version 1 (30-01-2023)

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Sujoy Mukerji, Han N Ozsoylev, Jean‐marc Tallon. Trading ambiguity: a tale of two heterogeneities. International Economic Review, 2023, 64 (3), pp.1127-1164. ⟨10.1111/iere.12627⟩. ⟨halshs-03962563⟩
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