Trading ambiguity: A tale of two heterogeneities

Name: Trading ambiguity: A tale of two heterogeneities
Author: Mukerji, S., Özsöylev, Han Nazmi, Tallon, J. M.

İsim	Trading ambiguity: A tale of two heterogeneities
Yazar	Mukerji, S., Özsöylev, Han Nazmi, Tallon, J. M.
Basım Tarihi:	2023
Basım Yeri	- Wiley
Tür	Süreli Yayın
Dil	İngilizce
Dijital	Evet
Yazma	Hayır
Kütüphane:	Özyeğin Üniversitesi
Demirbaş Numarası	0020-6598
Kayıt Numarası	2662e9f8-86c9-4ddb-a0ed-2fe7275e5d15
Lokasyon	International Finance
Tarih	2023
Örnek Metin	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

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Trading ambiguity: A tale of two heterogeneities

Yazar Mukerji, S., Özsöylev, Han Nazmi, Tallon, J. M.

Basım Tarihi 2023

Basım Yeri - Wiley

Tür Süreli Yayın

Dil İngilizce

Dijital Evet

Yazma Hayır

Kütüphane Özyeğin Üniversitesi

Demirbaş Numarası 0020-6598

Kayıt Numarası 2662e9f8-86c9-4ddb-a0ed-2fe7275e5d15

Lokasyon International Finance

Tarih 2023

Örnek Metin 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