Ambiguity, information quality, and asset pricing

被引：354

作者：

Epstein, Larry G. ^{[1
]}

Schneider, Martin ^{[2
,3
]}

机构：

[1] Boston Univ, Dept Econ, Boston, MA 02215 USA

[2] NYU, Dept Econ, New York, NY USA

[3] Fed Reserve Bank Minneapolis, Minneapolis, MN 55480 USA

来源：

JOURNAL OF FINANCE | 2008年 / 63卷 / 01期

关键词：

D O I：

10.1111/j.1540-6261.2008.01314.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

When ambiguity-averse investors process news of uncertain quality, they act as if they take a worst-case assessment of quality. As a result, they react more strongly to bad news than to good news. They also dislike assets for which information quality is poor, especially when the underlying fundamentals are volatile. These effects induce ambiguity premia that depend on idiosyncratic risk in fundamentals as well as skewness in returns. Moreover, shocks to information quality can have persistent negative effects on prices even if fundamentals do not change.

引用

页码：197 / 228

页数：32

共 26 条

[1] An exploration of the effects of pessimism and doubt on asset returns [J].