The Pricing Effects of Ambiguous Private Information
The Pricing Effects of Ambiguous Private Information
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DOI：
10.2139/ssrn.2154383
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发表时间：
2017-06
期刊：
影响因子：
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通讯作者：
S. Condie;Jayant V. Ganguli
中科院分区：
文献类型：
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作者：
S. Condie;Jayant V. Ganguli
当模糊厌恶的投资者观察到私人信息时，在理性预期均衡下，资产价格可能是信息低效的。这种低效意味着较低的资产价格，因为不知情的投资者需要溢价才能持有资产，而且相对于信息效率较高的基准，回报波动性更高。此外，资产回报是负偏的，可能是尖峰曲线。相对于信息效率较高的基准，低效还会导致新闻微小变化的价格放大。公共信息影响未披露的私人信息的性质和价格的信息低效。拥有好的(坏的)公开信息的资产价格可能更低(更高)。
When private information is observed by ambiguity averse investors, asset prices may be informationally inefficient in rational expectations equilibrium. This inefficiency implies lower asset prices as uninformed investors require a premium to hold assets and higher return volatility relative to informationally efficient benchmarks. Moreover, asset returns are negatively skewed and may be leptokurtic. Inefficiency also leads to amplification in price of small changes in news, relative to informationally efficient benchmarks. Public information affects the nature of unrevealed private information and the informational inefficiency of prices. Asset prices may be lower (higher) with good (bad) public information.