Author
Mukerji, S., Özsöylev, Han Nazmi, Tallon, J. M.
Publication Date
2023
Publication Place
-
Wiley
Type
Periodical
Language
English
Digital
Yes
Manuscript
No
Library
Özyeğin University
Library Asset ID
0020-6598
Record ID
2662e9f8-86c9-4ddb-a0ed-2fe7275e5d15
Library Location
International Finance
Date
2023
Sample Text
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.
DOI
10.1111/iere.12627
Cilt
64
