Format du dépôt |
Fichier |
Type de dépôt |
Article dans une revue |
Résumé |
en
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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Titre |
en
Trading ambiguity: a tale of two heterogeneities
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Auteur(s)
|
Sujoy Mukerji
1
, Han N Ozsoylev
2
, Jean‐marc Tallon
3, 4
1
QMUL -
Queen Mary University of London
( 303063 )
- Mile End Road, London E1 4NS
- Royaume-Uni
2
Özyeğin University
( 468595 )
- Nişantepe Mah., Orman Sok., 34794 Çekmeköy/İstanbul
- Turquie
3
PSE -
Paris School of Economics
( 301309 )
- 48 boulevard Jourdan 75014 Paris
- France
-
Université Paris 1 Panthéon-Sorbonne ( 7550 )
;
-
École normale supérieure - Paris ( 59704 )
;
-
Université Paris Sciences et Lettres ( 564132 )
;
-
École des hautes études en sciences sociales ( 99539 )
;
-
École des Ponts ParisTech ( 301545 )
;
-
Centre National de la Recherche Scientifique ( 441569 )
;
-
Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement ( 577435 )
4
PJSE -
Paris Jourdan Sciences Economiques
( 578027 )
- 48 boulevard Jourdan 75014 Paris
- France
-
Université Paris 1 Panthéon-Sorbonne UMR8545 ( 7550 )
;
-
École normale supérieure - Paris ( 59704 )
;
-
Université Paris Sciences et Lettres ( 564132 )
;
-
École des hautes études en sciences sociales ( 99539 )
;
-
École des Ponts ParisTech ( 301545 )
;
-
Centre National de la Recherche Scientifique ( 441569 )
;
-
Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement UMR1393 ( 577435 )
|
Langue du document |
Anglais
|
Nom de la revue |
|
Vulgarisation |
Non
|
Comité de lecture |
Oui
|
Audience |
Internationale
|
Date de publication |
2023
|
Volume |
64
|
Numéro |
3
|
Page/Identifiant |
1127-1164
|
Public visé |
Scientifique
|
Mots-clés (JEL) |
-
D - Microeconomics/D.D8 - Information, Knowledge, and Uncertainty/D.D8.D81 - Criteria for Decision-Making under Risk and Uncertainty
-
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.G11 - Portfolio Choice • Investment Decisions
-
G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates
-
G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates
|
Projet(s) ANR |
|
Domaine(s) |
-
Sciences de l'Homme et Société/Economies et finances
|
Mots-clés |
en
Ambiguity, Ambiguity aversion, Earnings announcements, Parameter uncertainty, Portfolio choice, Trading volume, Uncertainty shocks
|
DOI |
10.1111/iere.12627 |